Approximate Procedures

Ordinary Poisson Binomial Distribution

Poisson Approximation

The Poisson Approximation (DC) approach is requested with method = "Poisson". It is based on a Poisson distribution, whose parameter is the sum of the probabilities of success.

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)

dpbinom(NULL, pp, wt, "Poisson")
#>  [1] 2.263593e-16 8.154460e-15 1.468798e-13 1.763753e-12 1.588454e-11
#>  [6] 1.144462e-10 6.871428e-10 3.536273e-09 1.592402e-08 6.373926e-08
#> [11] 2.296169e-07 7.519830e-07 2.257479e-06 6.255718e-06 1.609704e-05
#> [16] 3.865908e-05 8.704191e-05 1.844490e-04 3.691482e-04 6.999128e-04
#> [21] 1.260697e-03 2.162661e-03 3.541299e-03 5.546660e-03 8.325631e-03
#> [26] 1.199704e-02 1.662255e-02 2.217842e-02 2.853445e-02 3.544609e-02
#> [31] 4.256414e-02 4.946284e-02 5.568342e-02 6.078674e-02 6.440607e-02
#> [36] 6.629115e-02 6.633610e-02 6.458699e-02 6.122916e-02 5.655755e-02
#> [41] 5.093630e-02 4.475488e-02 3.838734e-02 3.216003e-02 2.633059e-02
#> [46] 2.107875e-02 1.650760e-02 1.265269e-02 9.495953e-03 6.981348e-03
#> [51] 5.029979e-03 3.552981e-03 2.461424e-03 1.673044e-03 1.116119e-03
#> [56] 7.310458e-04 4.702766e-04 2.972182e-04 1.846053e-04 1.127169e-04
#> [61] 6.767601e-05 9.288901e-05
ppbinom(NULL, pp, wt, "Poisson")
#>  [1] 2.263593e-16 8.380820e-15 1.552606e-13 1.919013e-12 1.780355e-11
#>  [6] 1.322498e-10 8.193925e-10 4.355666e-09 2.027968e-08 8.401894e-08
#> [11] 3.136359e-07 1.065619e-06 3.323097e-06 9.578815e-06 2.567585e-05
#> [16] 6.433494e-05 1.513768e-04 3.358259e-04 7.049740e-04 1.404887e-03
#> [21] 2.665584e-03 4.828245e-03 8.369543e-03 1.391620e-02 2.224184e-02
#> [26] 3.423887e-02 5.086142e-02 7.303984e-02 1.015743e-01 1.370204e-01
#> [31] 1.795845e-01 2.290474e-01 2.847308e-01 3.455175e-01 4.099236e-01
#> [36] 4.762147e-01 5.425508e-01 6.071378e-01 6.683670e-01 7.249245e-01
#> [41] 7.758608e-01 8.206157e-01 8.590031e-01 8.911631e-01 9.174937e-01
#> [46] 9.385724e-01 9.550800e-01 9.677327e-01 9.772287e-01 9.842100e-01
#> [51] 9.892400e-01 9.927930e-01 9.952544e-01 9.969275e-01 9.980436e-01
#> [56] 9.987746e-01 9.992449e-01 9.995421e-01 9.997267e-01 9.998394e-01
#> [61] 9.999071e-01 1.000000e+00

A comparison with exact computation shows that the approximation quality of the PA procedure increases with smaller probabilities of success. The reason is that the Poisson Binomial distribution approaches a Poisson distribution when the probabilities are very small.

set.seed(1)

# U(0, 1) random probabilities of success
pp <- runif(20)
dpbinom(NULL, pp, method = "Poisson")
#>  [1] 0.0000150619 0.0001672374 0.0009284471 0.0034362888 0.0095385726
#>  [6] 0.0211820073 0.0391985129 0.0621763578 0.0862956727 0.1064633767
#> [11] 0.1182099310 0.1193204840 0.1104046811 0.0942969970 0.0747865595
#> [16] 0.0553587178 0.0384166744 0.0250913815 0.0154776776 0.0090449448
#> [21] 0.0101904160
dpbinom(NULL, pp)
#>  [1] 4.401037e-11 7.873212e-09 3.624610e-07 7.952504e-06 1.014602e-04
#>  [6] 8.311558e-04 4.642470e-03 1.838525e-02 5.297347e-02 1.129135e-01
#> [11] 1.798080e-01 2.148719e-01 1.926468e-01 1.289706e-01 6.384266e-02
#> [16] 2.299142e-02 5.871700e-03 1.021142e-03 1.129421e-04 6.977021e-06
#> [21] 1.747603e-07
summary(dpbinom(NULL, pp, method = "Poisson") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -9.555e-02  1.506e-05  9.437e-03  0.000e+00  2.407e-02  4.379e-02

# U(0, 0.01) random probabilities of success
pp <- runif(20, 0, 0.01)
dpbinom(NULL, pp, method = "Poisson")
#>  [1] 9.095763e-01 8.620639e-02 4.085167e-03 1.290592e-04 3.057942e-06
#>  [6] 5.796418e-08 9.156063e-10 1.239684e-11 1.468661e-13 1.546605e-15
#> [11] 1.465817e-17 1.262953e-19 9.974852e-22 7.272161e-24 4.923067e-26
#> [16] 3.110605e-28 1.842575e-30 1.027251e-32 5.408845e-35 2.698058e-37
#> [21] 1.284357e-39
dpbinom(NULL, pp)
#>  [1] 9.093051e-01 8.672423e-02 3.861917e-03 1.066765e-04 2.048094e-06
#>  [6] 2.902198e-08 3.145829e-10 2.667571e-12 1.794592e-14 9.656258e-17
#> [11] 4.170114e-19 1.444465e-21 3.994453e-24 8.738444e-27 1.490372e-29
#> [16] 1.938487e-32 1.859939e-35 1.249654e-38 5.381374e-42 1.245845e-45
#> [21] 9.511846e-50
summary(dpbinom(NULL, pp, method = "Poisson") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -5.178e-04  0.000e+00  0.000e+00  0.000e+00  6.000e-10  2.712e-04

Arithmetic Mean Binomial Approximation

The Arithmetic Mean Binomial Approximation (AMBA) approach is requested with method = "Mean". It is based on a Binomial distribution, whose parameter is the arithmetic mean of the probabilities of success.

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)
mean(rep(pp, wt))
#> [1] 0.5905641

dpbinom(NULL, pp, wt, "Mean")
#>  [1] 2.204668e-24 1.939788e-22 8.393759e-21 2.381049e-19 4.979863e-18
#>  [6] 8.188480e-17 1.102354e-15 1.249300e-14 1.216331e-13 1.033156e-12
#> [11] 7.749086e-12 5.182139e-11 3.114432e-10 1.693217e-09 8.373498e-09
#> [16] 3.784379e-08 1.569327e-07 5.991812e-07 2.112610e-06 6.896287e-06
#> [21] 2.088890e-05 5.882491e-05 1.542694e-04 3.773093e-04 8.616897e-04
#> [26] 1.839474e-03 3.673702e-03 6.868933e-03 1.203071e-02 1.974641e-02
#> [31] 3.038072e-02 4.382068e-02 5.925587e-02 7.510979e-02 8.921887e-02
#> [36] 9.927353e-02 1.034154e-01 1.007871e-01 9.181496e-02 7.810121e-02
#> [41] 6.195859e-02 4.577391e-02 3.143980e-02 2.003761e-02 1.182352e-02
#> [46] 6.442647e-03 3.232269e-03 1.487928e-03 6.259647e-04 2.395401e-04
#> [51] 8.292214e-05 2.579729e-05 7.155695e-06 1.752667e-06 3.745215e-07
#> [56] 6.875325e-08 1.062521e-08 1.344354e-09 1.337294e-10 9.807924e-12
#> [61] 4.715599e-13 1.115034e-14
ppbinom(NULL, pp, wt, "Mean")
#>  [1] 2.204668e-24 1.961834e-22 8.589942e-21 2.466948e-19 5.226557e-18
#>  [6] 8.711136e-17 1.189465e-15 1.368247e-14 1.353155e-13 1.168472e-12
#> [11] 8.917558e-12 6.073895e-11 3.721822e-10 2.065399e-09 1.043890e-08
#> [16] 4.828268e-08 2.052154e-07 8.043966e-07 2.917007e-06 9.813294e-06
#> [21] 3.070220e-05 8.952711e-05 2.437965e-04 6.211058e-04 1.482796e-03
#> [26] 3.322270e-03 6.995972e-03 1.386490e-02 2.589561e-02 4.564203e-02
#> [31] 7.602274e-02 1.198434e-01 1.790993e-01 2.542091e-01 3.434279e-01
#> [36] 4.427015e-01 5.461169e-01 6.469040e-01 7.387189e-01 8.168201e-01
#> [41] 8.787787e-01 9.245526e-01 9.559924e-01 9.760300e-01 9.878536e-01
#> [46] 9.942962e-01 9.975285e-01 9.990164e-01 9.996424e-01 9.998819e-01
#> [51] 9.999648e-01 9.999906e-01 9.999978e-01 9.999995e-01 9.999999e-01
#> [56] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [61] 1.000000e+00 1.000000e+00

A comparison with exact computation shows that the approximation quality of the AMBA procedure increases when the probabilities of success are closer to each other. The reason is that, although the expectation remains unchanged, the distributionâ€™s variance becomes smaller the less the probabilities differ. Since this variance is minimized by equal probabilities (but still underestimated), the AMBA method is best suited for situations with very similar probabilities of success.

set.seed(1)

# U(0, 1) random probabilities of success
pp <- runif(20)
dpbinom(NULL, pp, method = "Mean")
#>  [1] 9.203176e-08 2.297178e-06 2.723611e-05 2.039497e-04 1.081780e-03
#>  [6] 4.320318e-03 1.347977e-02 3.364646e-02 6.823695e-02 1.135495e-01
#> [11] 1.558851e-01 1.768638e-01 1.655492e-01 1.271454e-01 7.934094e-02
#> [16] 3.960811e-02 1.544760e-02 4.536271e-03 9.435709e-04 1.239589e-04
#> [21] 7.735255e-06
dpbinom(NULL, pp)
#>  [1] 4.401037e-11 7.873212e-09 3.624610e-07 7.952504e-06 1.014602e-04
#>  [6] 8.311558e-04 4.642470e-03 1.838525e-02 5.297347e-02 1.129135e-01
#> [11] 1.798080e-01 2.148719e-01 1.926468e-01 1.289706e-01 6.384266e-02
#> [16] 2.299142e-02 5.871700e-03 1.021142e-03 1.129421e-04 6.977021e-06
#> [21] 1.747603e-07
summary(dpbinom(NULL, pp, method = "Mean") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -3.801e-02  2.290e-06  6.360e-04  0.000e+00  8.837e-03  1.662e-02

# U(0.3, 0.5) random probabilities of success
pp <- runif(20, 0.3, 0.5)
dpbinom(NULL, pp, method = "Mean")
#>  [1] 4.348271e-05 5.672598e-04 3.515127e-03 1.375712e-02 3.813748e-02
#>  [6] 7.960444e-02 1.298114e-01 1.693472e-01 1.795010e-01 1.561137e-01
#> [11] 1.120132e-01 6.642197e-02 3.249439e-02 1.304339e-02 4.253984e-03
#> [16] 1.109919e-03 2.262438e-04 3.472347e-05 3.774915e-06 2.591904e-07
#> [21] 8.453263e-09
dpbinom(NULL, pp)
#>  [1] 4.015121e-05 5.344728e-04 3.370391e-03 1.338738e-02 3.756479e-02
#>  [6] 7.915145e-02 1.299445e-01 1.702071e-01 1.806555e-01 1.569062e-01
#> [11] 1.121277e-01 6.604356e-02 3.200604e-02 1.269255e-02 4.078679e-03
#> [16] 1.045709e-03 2.088926e-04 3.133484e-05 3.320483e-06 2.216332e-07
#> [21] 7.008006e-09
summary(dpbinom(NULL, pp, method = "Mean") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -1.155e-03  1.400e-09  1.735e-05  0.000e+00  3.508e-04  5.727e-04

# U(0.39, 0.41) random probabilities of success
pp <- runif(20, 0.39, 0.41)
dpbinom(NULL, pp, method = "Mean")
#>  [1] 3.638616e-05 4.854405e-04 3.076305e-03 1.231262e-02 3.490673e-02
#>  [6] 7.451247e-02 1.242621e-01 1.657824e-01 1.797056e-01 1.598344e-01
#> [11] 1.172824e-01 7.112295e-02 3.558286e-02 1.460687e-02 4.871885e-03
#> [16] 1.299951e-03 2.709859e-04 4.253314e-05 4.728746e-06 3.320414e-07
#> [21] 1.107470e-08
dpbinom(NULL, pp)
#>  [1] 3.636149e-05 4.851935e-04 3.075192e-03 1.230970e-02 3.490204e-02
#>  [6] 7.450845e-02 1.242626e-01 1.657891e-01 1.797153e-01 1.598415e-01
#> [11] 1.172840e-01 7.112011e-02 3.557873e-02 1.460374e-02 4.870251e-03
#> [16] 1.299328e-03 2.708111e-04 4.249771e-05 4.723809e-06 3.316172e-07
#> [21] 1.105772e-08
summary(dpbinom(NULL, pp, method = "Mean") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -9.641e-06  1.700e-11  1.747e-07  0.000e+00  2.844e-06  4.689e-06

Geometric Mean Binomial Approximation - Variant A

The Geometric Mean Binomial Approximation (Variant A) (GMBA-A) approach is requested with method = "GeoMean". It is based on a Binomial distribution, whose parameter is the geometric mean of the probabilities of success: $\hat{p} = \sqrt[n]{p_1 \cdot ... \cdot p_n}$

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)
prod(rep(pp, wt))^(1/sum(wt))
#> [1] 0.4669916

dpbinom(NULL, pp, wt, "GeoMean")
#>  [1] 2.141782e-17 1.144670e-15 3.008684e-14 5.184208e-13 6.586057e-12
#>  [6] 6.578175e-11 5.379195e-10 3.703028e-09 2.189958e-08 1.129911e-07
#> [11] 5.147813e-07 2.091103e-06 7.633772e-06 2.520966e-05 7.572779e-05
#> [16] 2.078916e-04 5.236606e-04 1.214475e-03 2.601021e-03 5.157435e-03
#> [21] 9.489168e-03 1.623184e-02 2.585712e-02 3.841422e-02 5.328923e-02
#> [26] 6.909972e-02 8.382634e-02 9.520502e-02 1.012875e-01 1.009827e-01
#> [31] 9.437363e-02 8.268481e-02 6.791600e-02 5.229152e-02 3.772988e-02
#> [36] 2.550094e-02 1.613623e-02 9.552467e-03 5.285892e-03 2.731219e-03
#> [41] 1.316117e-03 5.906156e-04 2.464113e-04 9.539397e-05 3.419132e-05
#> [46] 1.131690e-05 3.448772e-06 9.643463e-07 2.464308e-07 5.728188e-08
#> [51] 1.204491e-08 2.276152e-09 3.835067e-10 5.705775e-11 7.406038e-12
#> [56] 8.258409e-13 7.752374e-14 5.958061e-15 3.600079e-16 1.603823e-17
#> [61] 4.683928e-19 6.727527e-21
ppbinom(NULL, pp, wt, "GeoMean")
#>  [1] 2.141782e-17 1.166088e-15 3.125293e-14 5.496737e-13 7.135731e-12
#>  [6] 7.291748e-11 6.108370e-10 4.313865e-09 2.621345e-08 1.392046e-07
#> [11] 6.539859e-07 2.745088e-06 1.037886e-05 3.558852e-05 1.113163e-04
#> [16] 3.192079e-04 8.428685e-04 2.057343e-03 4.658364e-03 9.815799e-03
#> [21] 1.930497e-02 3.553681e-02 6.139393e-02 9.980815e-02 1.530974e-01
#> [26] 2.221971e-01 3.060234e-01 4.012285e-01 5.025160e-01 6.034986e-01
#> [31] 6.978723e-01 7.805571e-01 8.484731e-01 9.007646e-01 9.384945e-01
#> [36] 9.639954e-01 9.801316e-01 9.896841e-01 9.949700e-01 9.977012e-01
#> [41] 9.990173e-01 9.996080e-01 9.998544e-01 9.999498e-01 9.999840e-01
#> [46] 9.999953e-01 9.999987e-01 9.999997e-01 9.999999e-01 1.000000e+00
#> [51] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [56] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [61] 1.000000e+00 1.000000e+00

It is known that the geometric mean of the probabilities of success is always smaller than their arithmetic mean. Thus, we get a stochastically smaller binomial distribution. A comparison with exact computation shows that the approximation quality of the GMBA-A procedure increases when the probabilities of success are closer to each other:

set.seed(1)

# U(0, 1) random probabilities of success
pp <- runif(20)
dpbinom(NULL, pp, method = "GeoMean")
#>  [1] 4.557123e-06 7.742984e-05 6.249130e-04 3.185359e-03 1.150098e-02
#>  [6] 3.126602e-02 6.640491e-02 1.128282e-01 1.557610e-01 1.764351e-01
#> [11] 1.648790e-01 1.273387e-01 8.113517e-02 4.241734e-02 1.801777e-02
#> [16] 6.122779e-03 1.625497e-03 3.249263e-04 4.600672e-05 4.114199e-06
#> [21] 1.747603e-07
dpbinom(NULL, pp)
#>  [1] 4.401037e-11 7.873212e-09 3.624610e-07 7.952504e-06 1.014602e-04
#>  [6] 8.311558e-04 4.642470e-03 1.838525e-02 5.297347e-02 1.129135e-01
#> [11] 1.798080e-01 2.148719e-01 1.926468e-01 1.289706e-01 6.384266e-02
#> [16] 2.299142e-02 5.871700e-03 1.021142e-03 1.129421e-04 6.977021e-06
#> [21] 1.747603e-07
summary(dpbinom(NULL, pp, method = "GeoMean") - dpbinom(NULL, pp))
#>     Min.  1st Qu.   Median     Mean  3rd Qu.     Max.
#> -0.11151 -0.01493  0.00000  0.00000  0.01140  0.10279

# U(0.4, 0.6) random probabilities of success
pp <- runif(20, 0.4, 0.6)
dpbinom(NULL, pp, method = "GeoMean")
#>  [1] 1.317886e-06 2.551200e-05 2.345875e-04 1.362363e-03 5.604265e-03
#>  [6] 1.735823e-02 4.200318e-02 8.131092e-02 1.278907e-01 1.650496e-01
#> [11] 1.757292e-01 1.546280e-01 1.122499e-01 6.686047e-02 3.235759e-02
#> [16] 1.252775e-02 3.789307e-03 8.629936e-04 1.392173e-04 1.418425e-05
#> [21] 6.864565e-07
dpbinom(NULL, pp)
#>  [1] 1.046635e-06 2.098187e-05 1.993006e-04 1.192678e-03 5.043114e-03
#>  [6] 1.601621e-02 3.964022e-02 7.829406e-02 1.253351e-01 1.642218e-01
#> [11] 1.770816e-01 1.574210e-01 1.151700e-01 6.896627e-02 3.347297e-02
#> [16] 1.296524e-02 3.913788e-03 8.873960e-04 1.421738e-04 1.435144e-05
#> [21] 6.864565e-07
summary(dpbinom(NULL, pp, method = "GeoMean") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -0.0029201 -0.0004375  0.0000000  0.0000000  0.0005612  0.0030169

# U(0.49, 0.51) random probabilities of success
pp <- runif(20, 0.49, 0.51)
dpbinom(NULL, pp, method = "GeoMean")
#>  [1] 9.491177e-07 1.899145e-05 1.805052e-04 1.083550e-03 4.607292e-03
#>  [6] 1.475040e-02 3.689366e-02 7.382266e-02 1.200193e-01 1.601024e-01
#> [11] 1.761970e-01 1.602558e-01 1.202494e-01 7.403508e-02 3.703527e-02
#> [16] 1.482120e-02 4.633845e-03 1.090839e-03 1.818935e-04 1.915586e-05
#> [21] 9.582517e-07
dpbinom(NULL, pp)
#>  [1] 9.472606e-07 1.895984e-05 1.802539e-04 1.082315e-03 4.603107e-03
#>  [6] 1.474011e-02 3.687497e-02 7.379784e-02 1.199969e-01 1.600932e-01
#> [11] 1.762060e-01 1.602781e-01 1.202742e-01 7.405383e-02 3.704562e-02
#> [16] 1.482542e-02 4.635093e-03 1.091093e-03 1.819256e-04 1.915775e-05
#> [21] 9.582517e-07
summary(dpbinom(NULL, pp, method = "GeoMean") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -2.485e-05 -4.219e-06  0.000e+00  0.000e+00  4.185e-06  2.482e-05

Geometric Mean Binomial Approximation - Variant B

The Geometric Mean Binomial Approximation (Variant B) (GMBA-B) approach is requested with method = "GeoMeanCounter". It is based on a Binomial distribution, whose parameter is 1 minus the geometric mean of the probabilities of failure: $\hat{p} = 1 - \sqrt[n]{(1 - p_1) \cdot ... \cdot (1 - p_n)}$

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)
1 - prod(1 - rep(pp, wt))^(1/sum(wt))
#> [1] 0.7275426

dpbinom(NULL, pp, wt, "GeoMeanCounter")
#>  [1] 3.574462e-35 5.822379e-33 4.664248e-31 2.449471e-29 9.484189e-28
#>  [6] 2.887121e-26 7.195512e-25 1.509685e-23 2.721134e-22 4.279009e-21
#> [11] 5.941642e-20 7.356037e-19 8.184508e-18 8.237686e-17 7.541858e-16
#> [16] 6.310225e-15 4.844429e-14 3.424255e-13 2.235148e-12 1.350769e-11
#> [21] 7.574609e-11 3.948978e-10 1.917264e-09 8.681177e-09 3.670379e-08
#> [26] 1.450549e-07 5.363170e-07 1.856461e-06 6.019586e-06 1.829121e-05
#> [31] 5.209921e-05 1.391205e-04 3.482749e-04 8.172712e-04 1.797236e-03
#> [36] 3.702208e-03 7.139892e-03 1.288219e-02 2.172588e-02 3.421374e-02
#> [41] 5.024851e-02 6.872559e-02 8.738947e-02 1.031108e-01 1.126377e-01
#> [46] 1.136267e-01 1.055364e-01 8.994057e-02 7.004907e-02 4.962603e-02
#> [51] 3.180393e-02 1.831737e-02 9.406320e-03 4.265268e-03 1.687339e-03
#> [56] 5.734528e-04 1.640669e-04 3.843049e-05 7.077304e-06 9.609416e-07
#> [61] 8.553338e-08 3.744258e-09
ppbinom(NULL, pp, wt, "GeoMeanCounter")
#>  [1] 3.574462e-35 5.858123e-33 4.722829e-31 2.496699e-29 9.733859e-28
#>  [6] 2.984460e-26 7.493958e-25 1.584624e-23 2.879597e-22 4.566969e-21
#> [11] 6.398339e-20 7.995871e-19 8.984095e-18 9.136095e-17 8.455467e-16
#> [16] 7.155772e-15 5.560007e-14 3.980256e-13 2.633173e-12 1.614086e-11
#> [21] 9.188695e-11 4.867847e-10 2.404049e-09 1.108523e-08 4.778901e-08
#> [26] 1.928440e-07 7.291610e-07 2.585622e-06 8.605207e-06 2.689642e-05
#> [31] 7.899562e-05 2.181161e-04 5.663910e-04 1.383662e-03 3.180899e-03
#> [36] 6.883107e-03 1.402300e-02 2.690519e-02 4.863107e-02 8.284481e-02
#> [41] 1.330933e-01 2.018189e-01 2.892084e-01 3.923192e-01 5.049569e-01
#> [46] 6.185836e-01 7.241200e-01 8.140606e-01 8.841097e-01 9.337357e-01
#> [51] 9.655396e-01 9.838570e-01 9.932633e-01 9.975286e-01 9.992159e-01
#> [56] 9.997894e-01 9.999534e-01 9.999919e-01 9.999989e-01 9.999999e-01
#> [61] 1.000000e+00 1.000000e+00

It is known that the geometric mean of the probabilities of failure is always smaller than their arithmetic mean. As a result, 1 minus the geometric mean is larger than 1 minus the arithmetic mean. Thus, we get a stochastically larger binomial distribution. A comparison with exact computation shows that the approximation quality of the GMBA-B procedure again increases when the probabilities of success are closer to each other:

set.seed(1)

# U(0, 1) random probabilities of success
pp <- runif(20)
dpbinom(NULL, pp, method = "GeoMeanCounter")
#>  [1] 4.401037e-11 2.019854e-09 4.403304e-08 6.062685e-07 5.912743e-06
#>  [6] 4.341843e-05 2.490859e-04 1.143179e-03 4.262876e-03 1.304297e-02
#> [11] 3.292337e-02 6.868258e-02 1.182069e-01 1.669263e-01 1.915269e-01
#> [16] 1.758024e-01 1.260695e-01 6.807004e-02 2.603394e-02 6.288561e-03
#> [21] 7.215333e-04
dpbinom(NULL, pp)
#>  [1] 4.401037e-11 7.873212e-09 3.624610e-07 7.952504e-06 1.014602e-04
#>  [6] 8.311558e-04 4.642470e-03 1.838525e-02 5.297347e-02 1.129135e-01
#> [11] 1.798080e-01 2.148719e-01 1.926468e-01 1.289706e-01 6.384266e-02
#> [16] 2.299142e-02 5.871700e-03 1.021142e-03 1.129421e-04 6.977021e-06
#> [21] 1.747603e-07
summary(dpbinom(NULL, pp, method = "GeoMeanCounter") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -1.469e-01 -1.724e-02 -3.200e-07  0.000e+00  2.592e-02  1.528e-01

# U(0.4, 0.6) random probabilities of success
pp <- runif(20, 0.4, 0.6)
dpbinom(NULL, pp, method = "GeoMeanCounter")
#>  [1] 1.046635e-06 2.073844e-05 1.951870e-04 1.160254e-03 4.885321e-03
#>  [6] 1.548796e-02 3.836059e-02 7.600922e-02 1.223688e-01 1.616443e-01
#> [11] 1.761588e-01 1.586582e-01 1.178895e-01 7.187414e-02 3.560358e-02
#> [16] 1.410928e-02 4.368234e-03 1.018282e-03 1.681387e-04 1.753458e-05
#> [21] 8.685930e-07
dpbinom(NULL, pp)
#>  [1] 1.046635e-06 2.098187e-05 1.993006e-04 1.192678e-03 5.043114e-03
#>  [6] 1.601621e-02 3.964022e-02 7.829406e-02 1.253351e-01 1.642218e-01
#> [11] 1.770816e-01 1.574210e-01 1.151700e-01 6.896627e-02 3.347297e-02
#> [16] 1.296524e-02 3.913788e-03 8.873960e-04 1.421738e-04 1.435144e-05
#> [21] 6.864565e-07
summary(dpbinom(NULL, pp, method = "GeoMeanCounter") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -0.0029663 -0.0005283  0.0000000  0.0000000  0.0004544  0.0029079

# U(0.49, 0.51) random probabilities of success
pp <- runif(20, 0.49, 0.51)
dpbinom(NULL, pp, method = "GeoMeanCounter")
#>  [1] 9.472606e-07 1.895800e-05 1.802225e-04 1.082065e-03 4.601880e-03
#>  [6] 1.473596e-02 3.686475e-02 7.377926e-02 1.199722e-01 1.600709e-01
#> [11] 1.761969e-01 1.602871e-01 1.202964e-01 7.407854e-02 3.706427e-02
#> [16] 1.483571e-02 4.639289e-03 1.092334e-03 1.821786e-04 1.918963e-05
#> [21] 9.601293e-07
dpbinom(NULL, pp)
#>  [1] 9.472606e-07 1.895984e-05 1.802539e-04 1.082315e-03 4.603107e-03
#>  [6] 1.474011e-02 3.687497e-02 7.379784e-02 1.199969e-01 1.600932e-01
#> [11] 1.762060e-01 1.602781e-01 1.202742e-01 7.405383e-02 3.704562e-02
#> [16] 1.482542e-02 4.635093e-03 1.091093e-03 1.819256e-04 1.915775e-05
#> [21] 9.582517e-07
summary(dpbinom(NULL, pp, method = "GeoMeanCounter") - dpbinom(NULL, pp))
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -2.467e-05 -4.159e-06  0.000e+00  0.000e+00  4.196e-06  2.470e-05

Normal Approximation

The Normal Approximation (NA) approach is requested with method = "Normal". It is based on a Normal distribution, whose parameters are derived from the theoretical mean and variance of the input probabilities of success.

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)

dpbinom(NULL, pp, wt, "Normal")
#>  [1] 2.552770e-32 1.207834e-30 5.219650e-29 2.022022e-27 7.021785e-26
#>  [6] 2.185917e-24 6.100302e-23 1.526188e-21 3.423032e-20 6.882841e-19
#> [11] 1.240755e-17 2.005270e-16 2.905604e-15 3.774712e-14 4.396661e-13
#> [16] 4.591569e-12 4.299381e-11 3.609645e-10 2.717342e-09 1.834224e-08
#> [21] 1.110185e-07 6.025326e-07 2.932337e-06 1.279682e-05 5.007841e-05
#> [26] 1.757379e-04 5.530339e-04 1.560683e-03 3.949650e-03 8.963710e-03
#> [31] 1.824341e-02 3.329786e-02 5.450317e-02 8.000636e-02 1.053238e-01
#> [36] 1.243451e-01 1.316535e-01 1.250080e-01 1.064497e-01 8.129267e-02
#> [41] 5.567468e-02 3.419491e-02 1.883477e-02 9.303614e-03 4.121280e-03
#> [46] 1.637186e-03 5.832371e-04 1.863241e-04 5.337829e-05 1.371282e-05
#> [51] 3.159002e-06 6.525712e-07 1.208800e-07 2.007813e-08 2.990389e-09
#> [56] 3.993563e-10 4.782059e-11 5.134327e-12 4.942641e-13 4.266130e-14
#> [61] 3.301422e-15 2.441468e-16
ppbinom(NULL, pp, wt, "Normal")
#>  [1] 2.552770e-32 1.233362e-30 5.342987e-29 2.075452e-27 7.229330e-26
#>  [6] 2.258210e-24 6.326123e-23 1.589449e-21 3.581977e-20 7.241039e-19
#> [11] 1.313165e-17 2.136587e-16 3.119262e-15 4.086639e-14 4.805325e-13
#> [16] 5.072102e-12 4.806591e-11 4.090305e-10 3.126373e-09 2.146861e-08
#> [21] 1.324871e-07 7.350197e-07 3.667357e-06 1.646417e-05 6.654258e-05
#> [26] 2.422805e-04 7.953144e-04 2.355997e-03 6.305647e-03 1.526936e-02
#> [31] 3.351276e-02 6.681062e-02 1.213138e-01 2.013201e-01 3.066439e-01
#> [36] 4.309891e-01 5.626426e-01 6.876506e-01 7.941003e-01 8.753930e-01
#> [41] 9.310676e-01 9.652625e-01 9.840973e-01 9.934009e-01 9.975222e-01
#> [46] 9.991594e-01 9.997426e-01 9.999290e-01 9.999823e-01 9.999960e-01
#> [51] 9.999992e-01 9.999999e-01 1.000000e+00 1.000000e+00 1.000000e+00
#> [56] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [61] 1.000000e+00 1.000000e+00

A comparison with exact computation shows that the approximation quality of the NA procedure increases with larger numbers of probabilities of success:

set.seed(1)

# 10 random probabilities of success
pp <- runif(10)
dpn <- dpbinom(NULL, pp, method = "Normal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -0.0053305 -0.0010422  0.0005271  0.0000000  0.0016579  0.0026553

# 1000 random probabilities of success
pp <- runif(1000)
dpn <- dpbinom(NULL, pp, method = "Normal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -8.412e-06  0.000e+00  0.000e+00  0.000e+00  0.000e+00  3.815e-06

# 100000 random probabilities of success
pp <- runif(100000)
dpn <- dpbinom(NULL, pp, method = "Normal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -4.484e-09  0.000e+00  8.720e-13  0.000e+00  4.914e-10  2.734e-09

Refined Normal Approximation

The Refined Normal Approximation (RNA) approach is requested with method = "RefinedNormal". It is based on a Normal distribution, whose parameters are derived from the theoretical mean, variance and skewness of the input probabilities of success.

set.seed(1)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)

dpbinom(NULL, pp, wt, "RefinedNormal")
#>  [1] 2.579548e-31 1.128297e-29 4.507210e-28 1.611452e-26 5.156486e-25
#>  [6] 1.476806e-23 3.785627e-22 8.685911e-21 1.783953e-19 3.280039e-18
#> [11] 5.399492e-17 7.959230e-16 1.050796e-14 1.242802e-13 1.317210e-12
#> [16] 1.251531e-11 1.066498e-10 8.155390e-10 5.599786e-09 3.455053e-08
#> [21] 1.917106e-07 9.574753e-07 4.308224e-06 1.748069e-05 6.401569e-05
#> [26] 2.117447e-04 6.329842e-04 1.710740e-03 4.180480e-03 9.234968e-03
#> [31] 1.843341e-02 3.322175e-02 5.401115e-02 7.912655e-02 1.043358e-01
#> [36] 1.236782e-01 1.316360e-01 1.256489e-01 1.074322e-01 8.218619e-02
#> [41] 5.618825e-02 3.428872e-02 1.865323e-02 9.032795e-03 3.886960e-03
#> [46] 1.483178e-03 5.004545e-04 1.487517e-04 3.873113e-05 8.757189e-06
#> [51] 1.693868e-06 2.722346e-07 3.388544e-08 2.218356e-09 0.000000e+00
#> [56] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
#> [61] 0.000000e+00 0.000000e+00
ppbinom(NULL, pp, wt, "RefinedNormal")
#>  [1] 2.579548e-31 1.154092e-29 4.622620e-28 1.657678e-26 5.322254e-25
#>  [6] 1.530028e-23 3.938629e-22 9.079774e-21 1.874750e-19 3.467514e-18
#> [11] 5.746244e-17 8.533855e-16 1.136134e-14 1.356415e-13 1.452852e-12
#> [16] 1.396817e-11 1.206179e-10 9.361569e-10 6.535943e-09 4.108647e-08
#> [21] 2.327971e-07 1.190272e-06 5.498496e-06 2.297918e-05 8.699487e-05
#> [26] 2.987396e-04 9.317238e-04 2.642463e-03 6.822944e-03 1.605791e-02
#> [31] 3.449132e-02 6.771307e-02 1.217242e-01 2.008508e-01 3.051866e-01
#> [36] 4.288648e-01 5.605008e-01 6.861497e-01 7.935820e-01 8.757682e-01
#> [41] 9.319564e-01 9.662451e-01 9.848984e-01 9.939312e-01 9.978181e-01
#> [46] 9.993013e-01 9.998018e-01 9.999505e-01 9.999892e-01 9.999980e-01
#> [51] 9.999997e-01 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [56] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [61] 1.000000e+00 1.000000e+00

A comparison with exact computation shows that the approximation quality of the RNA procedure increases with larger numbers of probabilities of success:

set.seed(1)

# 10 random probabilities of success
pp <- runif(10)
dpn <- dpbinom(NULL, pp, method = "RefinedNormal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -0.0039538 -0.0006920  0.0003543  0.0000000  0.0017167  0.0023597

# 1000 random probabilities of success
pp <- runif(1000)
dpn <- dpbinom(NULL, pp, method = "RefinedNormal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -2.974e-06  0.000e+00  0.000e+00  0.000e+00  0.000e+00  2.270e-06

# 100000 random probabilities of success
pp <- runif(100000)
dpn <- dpbinom(NULL, pp, method = "RefinedNormal")
dpd <- dpbinom(NULL, pp)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -3.126e-09  0.000e+00  6.200e-13  0.000e+00  4.616e-10  2.293e-09

Processing Speed Comparisons

To assess the performance of the approximation procedures, we use the microbenchmark package. Each algorithm has to calculate the PMF repeatedly based on random probability vectors. The run times are then summarized in a table that presents, among other statistics, their minima, maxima and means. The following results were recorded on an AMD Ryzen 7 1800X with 32 GiB of RAM and Windows 10 Education (20H2).

library(microbenchmark)
set.seed(1)

f1 <- function() dpbinom(NULL, runif(4000), method = "Normal")
f2 <- function() dpbinom(NULL, runif(4000), method = "RefinedNormal")
f3 <- function() dpbinom(NULL, runif(4000), method = "Poisson")
f4 <- function() dpbinom(NULL, runif(4000), method = "Mean")
f5 <- function() dpbinom(NULL, runif(4000), method = "GeoMean")
f6 <- function() dpbinom(NULL, runif(4000), method = "GeoMeanCounter")
f7 <- function() dpbinom(NULL, runif(4000), method = "DivideFFT")

microbenchmark(f1(), f2(), f3(), f4(), f5(), f6(), f7(), times = 51)
#> Unit: microseconds
#>  expr    min      lq      mean median      uq    max neval   cld
#>  f1()  587.2  603.60  704.4216  611.1  639.90 2929.8    51 a
#>  f2()  752.2  771.60  890.3157  792.2  866.60 2998.6    51 ab
#>  f3()  923.4  931.10 1036.8314  939.4 1016.55 3350.6    51  b
#>  f4() 1318.5 1329.35 1411.4922 1351.8 1441.65 2320.6    51   c
#>  f5() 1473.8 1480.10 1655.4275 1502.1 1566.55 4020.0    51    d
#>  f6() 1463.8 1479.10 1552.3922 1496.4 1564.75 2470.2    51   cd
#>  f7() 6533.4 6639.45 6807.3627 6717.6 6802.30 8499.2    51     e

Clearly, the NA procedure is the fastest, followed by the RNA and PA methods. The next fastest algorithms are AMBA, GMBA-A and GMBA-B. They exhibit almost equal mean execution speed, with the AMBA algorithm being slightly faster. All of the approximation procedures outperform the fastest exact approach, DC-FFT, by far.

Generalized Poisson Binomial Distribution

Generalized Normal Approximation

The Generalized Normal Approximation (G-NA) approach is requested with method = "Normal". It is based on a Normal distribution, whose parameters are derived from the theoretical mean and variance of the input probabilities of success (see Introduction.

set.seed(2)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)
va <- sample(0:10, 10, TRUE)
vb <- sample(0:10, 10, TRUE)

dgpbinom(NULL, pp, va, vb, wt, "Normal")
#>   [1] 5.607923e-34 8.868899e-34 2.266907e-33 5.759009e-33 1.454159e-32
#>   [6] 3.649437e-32 9.103112e-32 2.256856e-31 5.561194e-31 1.362016e-30
#>  [11] 3.315478e-30 8.021587e-30 1.928965e-29 4.610400e-29 1.095224e-28
#>  [16] 2.585931e-28 6.068497e-28 1.415453e-27 3.281403e-27 7.560907e-27
#>  [21] 1.731562e-26 3.941418e-26 8.916960e-26 2.005077e-25 4.481212e-25
#>  [26] 9.954281e-25 2.197730e-24 4.822684e-24 1.051849e-23 2.280173e-23
#>  [31] 4.912836e-23 1.052075e-22 2.239296e-22 4.737247e-22 9.960718e-22
#>  [36] 2.081639e-21 4.323844e-21 8.926573e-21 1.831680e-20 3.735634e-20
#>  [41] 7.572323e-20 1.525612e-19 3.054984e-19 6.080284e-19 1.202787e-18
#>  [46] 2.364851e-18 4.621350e-18 8.976023e-18 1.732802e-17 3.324790e-17
#>  [51] 6.340586e-17 1.201834e-16 2.264174e-16 4.239603e-16 7.890246e-16
#>  [56] 1.459506e-15 2.683313e-15 4.903282e-15 8.905378e-15 1.607563e-14
#>  [61] 2.884254e-14 5.143387e-14 9.116221e-14 1.605945e-13 2.811877e-13
#>  [66] 4.893417e-13 8.464047e-13 1.455104e-12 2.486337e-12 4.222561e-12
#>  [71] 7.127579e-12 1.195799e-11 1.993996e-11 3.304764e-11 5.443857e-11
#>  [76] 8.912982e-11 1.450405e-10 2.345880e-10 3.771137e-10 6.025440e-10
#>  [81] 9.568753e-10 1.510330e-09 2.369401e-09 3.694497e-09 5.725614e-09
#>  [86] 8.819398e-09 1.350224e-08 2.054578e-08 3.107347e-08 4.670967e-08
#>  [91] 6.978689e-08 1.036313e-07 1.529531e-07 2.243755e-07 3.271469e-07
#>  [96] 4.740893e-07 6.828536e-07 9.775638e-07 1.390954e-06 1.967117e-06
#> [101] 2.765018e-06 3.862920e-06 5.363935e-06 7.402890e-06 1.015475e-05
#> [106] 1.384482e-05 1.876097e-05 2.526814e-05 3.382528e-05 4.500488e-05
#> [111] 5.951520e-05 7.822512e-05 1.021915e-04 1.326884e-04 1.712386e-04
#> [116] 2.196444e-04 2.800198e-04 3.548195e-04 4.468649e-04 5.593647e-04
#> [121] 6.959275e-04 8.605635e-04 1.057674e-03 1.292025e-03 1.568701e-03
#> [126] 1.893038e-03 2.270537e-03 2.706749e-03 3.207136e-03 3.776912e-03
#> [131] 4.420856e-03 5.143112e-03 5.946968e-03 6.834635e-03 7.807017e-03
#> [136] 8.863494e-03 1.000172e-02 1.121747e-02 1.250446e-02 1.385431e-02
#> [141] 1.525651e-02 1.669842e-02 1.816543e-02 1.964112e-02 2.110749e-02
#> [146] 2.254536e-02 2.393468e-02 2.525505e-02 2.648616e-02 2.760831e-02
#> [151] 2.860294e-02 2.945314e-02 3.014411e-02 3.066363e-02 3.100235e-02
#> [156] 3.115414e-02 3.111624e-02 3.088932e-02 3.047753e-02 2.988830e-02
#> [161] 2.913216e-02 2.822242e-02 2.717477e-02 2.600684e-02 2.473770e-02
#> [166] 2.338736e-02 2.197622e-02 2.052462e-02 1.905228e-02 1.757799e-02
#> [171] 1.611912e-02 1.469141e-02 1.330871e-02 1.198280e-02 1.072335e-02
#> [176] 9.537908e-03 8.431904e-03 7.408807e-03 6.470249e-03 5.616215e-03
#> [181] 4.845254e-03 4.154698e-03 3.540890e-03 2.999407e-03 2.525274e-03
#> [186] 2.113156e-03 1.757538e-03 1.452874e-03 1.193717e-03 9.748208e-04
#> [191] 7.912218e-04 6.382955e-04 5.117942e-04 4.078674e-04 3.230671e-04
#> [196] 2.543411e-04 1.990171e-04 1.547798e-04 1.196432e-04 9.192046e-05
#> [201] 7.019178e-05 5.327340e-05 4.018691e-05 3.013068e-05 2.245346e-05
#> [206] 1.663059e-05 1.224284e-05 8.957907e-06 6.514501e-06 1.614725e-05
pgpbinom(NULL, pp, va, vb, wt, "Normal")
#>   [1] 5.607923e-34 1.447682e-33 3.714589e-33 9.473598e-33 2.401518e-32
#>   [6] 6.050955e-32 1.515407e-31 3.772263e-31 9.333457e-31 2.295361e-30
#>  [11] 5.610840e-30 1.363243e-29 3.292208e-29 7.902608e-29 1.885484e-28
#>  [16] 4.471416e-28 1.053991e-27 2.469444e-27 5.750847e-27 1.331175e-26
#>  [21] 3.062738e-26 7.004156e-26 1.592112e-25 3.597189e-25 8.078401e-25
#>  [26] 1.803268e-24 4.000998e-24 8.823682e-24 1.934217e-23 4.214390e-23
#>  [31] 9.127226e-23 1.964798e-22 4.204093e-22 8.941340e-22 1.890206e-21
#>  [36] 3.971844e-21 8.295689e-21 1.722226e-20 3.553906e-20 7.289540e-20
#>  [41] 1.486186e-19 3.011798e-19 6.066782e-19 1.214707e-18 2.417494e-18
#>  [46] 4.782345e-18 9.403695e-18 1.837972e-17 3.570774e-17 6.895564e-17
#>  [51] 1.323615e-16 2.525449e-16 4.789624e-16 9.029227e-16 1.691947e-15
#>  [56] 3.151453e-15 5.834767e-15 1.073805e-14 1.964343e-14 3.571905e-14
#>  [61] 6.456159e-14 1.159955e-13 2.071577e-13 3.677521e-13 6.489399e-13
#>  [66] 1.138282e-12 1.984686e-12 3.439790e-12 5.926127e-12 1.014869e-11
#>  [71] 1.727627e-11 2.923425e-11 4.917421e-11 8.222186e-11 1.366604e-10
#>  [76] 2.257903e-10 3.708308e-10 6.054188e-10 9.825325e-10 1.585076e-09
#>  [81] 2.541952e-09 4.052282e-09 6.421683e-09 1.011618e-08 1.584179e-08
#>  [86] 2.466119e-08 3.816343e-08 5.870922e-08 8.978268e-08 1.364924e-07
#>  [91] 2.062792e-07 3.099106e-07 4.628636e-07 6.872392e-07 1.014386e-06
#>  [96] 1.488475e-06 2.171329e-06 3.148893e-06 4.539847e-06 6.506964e-06
#> [101] 9.271982e-06 1.313490e-05 1.849884e-05 2.590173e-05 3.605648e-05
#> [106] 4.990129e-05 6.866226e-05 9.393040e-05 1.277557e-04 1.727606e-04
#> [111] 2.322758e-04 3.105009e-04 4.126924e-04 5.453808e-04 7.166194e-04
#> [116] 9.362638e-04 1.216284e-03 1.571103e-03 2.017968e-03 2.577333e-03
#> [121] 3.273260e-03 4.133824e-03 5.191498e-03 6.483523e-03 8.052224e-03
#> [126] 9.945263e-03 1.221580e-02 1.492255e-02 1.812968e-02 2.190660e-02
#> [131] 2.632745e-02 3.147056e-02 3.741753e-02 4.425217e-02 5.205918e-02
#> [136] 6.092268e-02 7.092440e-02 8.214187e-02 9.464633e-02 1.085006e-01
#> [141] 1.237572e-01 1.404556e-01 1.586210e-01 1.782621e-01 1.993696e-01
#> [146] 2.219150e-01 2.458497e-01 2.711047e-01 2.975909e-01 3.251992e-01
#> [151] 3.538021e-01 3.832553e-01 4.133994e-01 4.440630e-01 4.750653e-01
#> [156] 5.062195e-01 5.373357e-01 5.682250e-01 5.987026e-01 6.285909e-01
#> [161] 6.577230e-01 6.859454e-01 7.131202e-01 7.391271e-01 7.638648e-01
#> [166] 7.872521e-01 8.092283e-01 8.297529e-01 8.488052e-01 8.663832e-01
#> [171] 8.825023e-01 8.971938e-01 9.105025e-01 9.224853e-01 9.332086e-01
#> [176] 9.427465e-01 9.511784e-01 9.585872e-01 9.650575e-01 9.706737e-01
#> [181] 9.755189e-01 9.796736e-01 9.832145e-01 9.862139e-01 9.887392e-01
#> [186] 9.908524e-01 9.926099e-01 9.940628e-01 9.952565e-01 9.962313e-01
#> [191] 9.970225e-01 9.976608e-01 9.981726e-01 9.985805e-01 9.989036e-01
#> [196] 9.991579e-01 9.993569e-01 9.995117e-01 9.996314e-01 9.997233e-01
#> [201] 9.997935e-01 9.998467e-01 9.998869e-01 9.999171e-01 9.999395e-01
#> [206] 9.999561e-01 9.999684e-01 9.999773e-01 9.999839e-01 1.000000e+00

A comparison with exact computation shows that the approximation quality of the NA procedure increases with larger numbers of probabilities of success:

set.seed(2)

# 10 random probabilities of success
pp <- runif(10)
va <- sample(0:10, 10, TRUE)
vb <- sample(0:10, 10, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "Normal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -0.0346309 -0.0042919  0.0001378  0.0000000  0.0038447  0.0317044

# 100 random probabilities of success
pp <- runif(100)
va <- sample(0:100, 100, TRUE)
vb <- sample(0:100, 100, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "Normal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -3.006e-05 -1.126e-09  0.000e+00  0.000e+00  1.854e-09  2.967e-05

# 1000 random probabilities of success
pp <- runif(1000)
va <- sample(0:1000, 1000, TRUE)
vb <- sample(0:1000, 1000, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "Normal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -3.152e-08  0.000e+00  0.000e+00  0.000e+00  0.000e+00  3.707e-08

Generalized Refined Normal Approximation

The Generalized Refined Normal Approximation (G-RNA) approach is requested with method = "RefinedNormal". It is based on a Normal distribution, whose parameters are derived from the theoretical mean, variance and skewness of the input probabilities of success.

set.seed(2)
pp <- runif(10)
wt <- sample(1:10, 10, TRUE)
va <- sample(0:10, 10, TRUE)
vb <- sample(0:10, 10, TRUE)
dgpbinom(NULL, pp, va, vb, wt, "RefinedNormal")
#>   [1] 5.100768e-32 7.816039e-32 1.959106e-31 4.880045e-31 1.208047e-30
#>   [6] 2.971921e-30 7.265798e-30 1.765311e-29 4.262362e-29 1.022751e-28
#>  [11] 2.438814e-28 5.779315e-28 1.361012e-27 3.185186e-27 7.407878e-27
#>  [16] 1.712136e-26 3.932484e-26 8.975930e-26 2.035985e-25 4.589352e-25
#>  [21] 1.028037e-24 2.288476e-24 5.062470e-24 1.112900e-23 2.431235e-23
#>  [26] 5.278047e-23 1.138660e-22 2.441116e-22 5.200621e-22 1.101015e-21
#>  [31] 2.316333e-21 4.842591e-21 1.006056e-20 2.076983e-20 4.260973e-20
#>  [36] 8.686571e-20 1.759748e-19 3.542530e-19 7.086575e-19 1.408697e-18
#>  [41] 2.782630e-18 5.461965e-18 1.065359e-17 2.064884e-17 3.976912e-17
#>  [46] 7.611065e-17 1.447413e-16 2.735176e-16 5.135966e-16 9.582999e-16
#>  [51] 1.776730e-15 3.273256e-15 5.992053e-15 1.089949e-14 1.970017e-14
#>  [56] 3.538058e-14 6.313772e-14 1.119541e-13 1.972495e-13 3.453144e-13
#>  [61] 6.006676e-13 1.038179e-12 1.782897e-12 3.042246e-12 5.157913e-12
#>  [66] 8.688860e-12 1.454315e-11 2.418568e-11 3.996319e-11 6.560867e-11
#>  [71] 1.070186e-10 1.734408e-10 2.792769e-10 4.467944e-10 7.101774e-10
#>  [76] 1.121527e-09 1.759679e-09 2.743061e-09 4.248282e-09 6.536785e-09
#>  [81] 9.992759e-09 1.517660e-08 2.289965e-08 3.432780e-08 5.112383e-08
#>  [86] 7.564129e-08 1.111860e-07 1.623661e-07 2.355550e-07 3.394997e-07
#>  [91] 4.861107e-07 6.914779e-07 9.771650e-07 1.371840e-06 1.913307e-06
#>  [96] 2.651012e-06 3.649099e-06 4.990081e-06 6.779222e-06 9.149662e-06
#> [101] 1.226837e-05 1.634294e-05 2.162919e-05 2.843967e-05 3.715276e-05
#> [106] 4.822249e-05 6.218875e-05 7.968764e-05 1.014618e-04 1.283702e-04
#> [111] 1.613972e-04 2.016606e-04 2.504176e-04 3.090698e-04 3.791651e-04
#> [116] 4.623982e-04 5.606082e-04 6.757744e-04 8.100102e-04 9.655553e-04
#> [121] 1.144767e-03 1.350110e-03 1.584150e-03 1.849543e-03 2.149024e-03
#> [126] 2.485405e-03 2.861561e-03 3.280420e-03 3.744950e-03 4.258135e-03
#> [131] 4.822941e-03 5.442277e-03 6.118927e-03 6.855467e-03 7.654163e-03
#> [136] 8.516833e-03 9.444692e-03 1.043817e-02 1.149671e-02 1.261856e-02
#> [141] 1.380053e-02 1.503782e-02 1.632377e-02 1.764978e-02 1.900514e-02
#> [146] 2.037702e-02 2.175055e-02 2.310888e-02 2.443348e-02 2.570445e-02
#> [151] 2.690096e-02 2.800177e-02 2.898579e-02 2.983278e-02 3.052397e-02
#> [156] 3.104271e-02 3.137515e-02 3.151071e-02 3.144261e-02 3.116818e-02
#> [161] 3.068902e-02 3.001109e-02 2.914456e-02 2.810352e-02 2.690563e-02
#> [166] 2.557147e-02 2.412399e-02 2.258773e-02 2.098813e-02 1.935073e-02
#> [171] 1.770044e-02 1.606093e-02 1.445398e-02 1.289904e-02 1.141287e-02
#> [176] 1.000927e-02 8.699011e-03 7.489773e-03 6.386301e-03 5.390581e-03
#> [181] 4.502114e-03 3.718233e-03 3.034469e-03 2.444914e-03 1.942594e-03
#> [186] 1.519822e-03 1.168521e-03 8.805066e-04 6.477360e-04 4.625001e-04
#> [191] 2.621189e-04 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
#> [196] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
#> [201] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
#> [206] 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00 0.000000e+00
pgpbinom(NULL, pp, va, vb, wt, "RefinedNormal")
#>   [1] 5.100768e-32 1.291681e-31 3.250786e-31 8.130831e-31 2.021130e-30
#>   [6] 4.993051e-30 1.225885e-29 2.991196e-29 7.253558e-29 1.748106e-28
#>  [11] 4.186920e-28 9.966236e-28 2.357636e-27 5.542822e-27 1.295070e-26
#>  [16] 3.007206e-26 6.939690e-26 1.591562e-25 3.627547e-25 8.216899e-25
#>  [21] 1.849727e-24 4.138203e-24 9.200673e-24 2.032968e-23 4.464203e-23
#>  [26] 9.742250e-23 2.112885e-22 4.554002e-22 9.754623e-22 2.076477e-21
#>  [31] 4.392810e-21 9.235402e-21 1.929596e-20 4.006579e-20 8.267552e-20
#>  [36] 1.695412e-19 3.455160e-19 6.997690e-19 1.408427e-18 2.817123e-18
#>  [41] 5.599754e-18 1.106172e-17 2.171531e-17 4.236415e-17 8.213328e-17
#>  [46] 1.582439e-16 3.029852e-16 5.765028e-16 1.090099e-15 2.048399e-15
#>  [51] 3.825129e-15 7.098385e-15 1.309044e-14 2.398993e-14 4.369010e-14
#>  [56] 7.907068e-14 1.422084e-13 2.541625e-13 4.514120e-13 7.967264e-13
#>  [61] 1.397394e-12 2.435573e-12 4.218470e-12 7.260717e-12 1.241863e-11
#>  [66] 2.110749e-11 3.565064e-11 5.983632e-11 9.979950e-11 1.654082e-10
#>  [71] 2.724267e-10 4.458675e-10 7.251445e-10 1.171939e-09 1.882116e-09
#>  [76] 3.003643e-09 4.763322e-09 7.506383e-09 1.175466e-08 1.829145e-08
#>  [81] 2.828421e-08 4.346081e-08 6.636046e-08 1.006883e-07 1.518121e-07
#>  [86] 2.274534e-07 3.386394e-07 5.010055e-07 7.365605e-07 1.076060e-06
#>  [91] 1.562171e-06 2.253649e-06 3.230814e-06 4.602653e-06 6.515960e-06
#>  [96] 9.166972e-06 1.281607e-05 1.780615e-05 2.458537e-05 3.373504e-05
#> [101] 4.600341e-05 6.234634e-05 8.397554e-05 1.124152e-04 1.495680e-04
#> [106] 1.977905e-04 2.599792e-04 3.396668e-04 4.411286e-04 5.694988e-04
#> [111] 7.308960e-04 9.325566e-04 1.182974e-03 1.492044e-03 1.871209e-03
#> [116] 2.333607e-03 2.894215e-03 3.569990e-03 4.380000e-03 5.345555e-03
#> [121] 6.490322e-03 7.840432e-03 9.424583e-03 1.127413e-02 1.342315e-02
#> [126] 1.590855e-02 1.877011e-02 2.205053e-02 2.579549e-02 3.005362e-02
#> [131] 3.487656e-02 4.031884e-02 4.643777e-02 5.329323e-02 6.094740e-02
#> [136] 6.946423e-02 7.890892e-02 8.934709e-02 1.008438e-01 1.134624e-01
#> [141] 1.272629e-01 1.423007e-01 1.586245e-01 1.762743e-01 1.952794e-01
#> [146] 2.156564e-01 2.374070e-01 2.605159e-01 2.849493e-01 3.106538e-01
#> [151] 3.375548e-01 3.655565e-01 3.945423e-01 4.243751e-01 4.548991e-01
#> [156] 4.859418e-01 5.173169e-01 5.488276e-01 5.802702e-01 6.114384e-01
#> [161] 6.421274e-01 6.721385e-01 7.012831e-01 7.293866e-01 7.562922e-01
#> [166] 7.818637e-01 8.059877e-01 8.285754e-01 8.495636e-01 8.689143e-01
#> [171] 8.866147e-01 9.026757e-01 9.171296e-01 9.300287e-01 9.414415e-01
#> [176] 9.514508e-01 9.601498e-01 9.676396e-01 9.740259e-01 9.794165e-01
#> [181] 9.839186e-01 9.876368e-01 9.906713e-01 9.931162e-01 9.950588e-01
#> [186] 9.965786e-01 9.977471e-01 9.986276e-01 9.992754e-01 9.997379e-01
#> [191] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [196] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [201] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00
#> [206] 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00 1.000000e+00

A comparison with exact computation shows that the approximation quality of the RNA procedure increases with larger numbers of probabilities of success:

set.seed(2)

# 10 random probabilities of success
pp <- runif(10)
va <- sample(0:10, 10, TRUE)
vb <- sample(0:10, 10, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "RefinedNormal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -3.045e-02 -4.084e-03  1.727e-04  1.179e-05  4.324e-03  3.161e-02

# 100 random probabilities of success
pp <- runif(100)
va <- sample(0:100, 100, TRUE)
vb <- sample(0:100, 100, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "RefinedNormal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -8.831e-06  0.000e+00  1.000e-12  9.000e-12  3.642e-07  1.333e-05

# 1000 random probabilities of success
pp <- runif(1000)
va <- sample(0:1000, 1000, TRUE)
vb <- sample(0:1000, 1000, TRUE)
dpn <- dgpbinom(NULL, pp, va, vb, method = "RefinedNormal")
dpd <- dgpbinom(NULL, pp, va, vb)
idx <- which(dpn != 0 & dpd != 0)
summary((dpn - dpd)[idx])
#>       Min.    1st Qu.     Median       Mean    3rd Qu.       Max.
#> -1.980e-08  0.000e+00  0.000e+00  0.000e+00  0.000e+00  3.197e-08

Processing Speed Comparisons

To assess the performance of the approximation procedures, we use the microbenchmark package. Each algorithm has to calculate the PMF repeatedly based on random probability vectors. The run times are then summarized in a table that presents, among other statistics, their minima, maxima and means. The following results were recorded on an AMD Ryzen 7 1800X with 32 GiB of RAM and Windows 10 Education (20H2).

library(microbenchmark)
n <- 1500
set.seed(2)
va <- sample(1:50, n, TRUE)
vb <- sample(1:50, n, TRUE)

f1 <- function() dgpbinom(NULL, runif(n), va, vb, method = "Normal")
f2 <- function() dgpbinom(NULL, runif(n), va, vb, method = "RefinedNormal")
f3 <- function() dgpbinom(NULL, runif(n), va, vb, method = "DivideFFT")

microbenchmark(f1(), f2(), f3(), times = 51)
#> Unit: milliseconds
#>  expr     min       lq      mean  median       uq      max neval cld
#>  f1()  5.1788  5.46020  6.002518  5.5654  5.90080   9.2687    51  a
#>  f2()  6.9762  8.09095  8.796610  8.2973  9.33385  12.9158    51  a
#>  f3() 27.2830 27.68820 29.931600 27.9514 28.28040 122.3169    51   b

Clearly, the G-NA procedure is the fastest, followed by the G-RNA method. Both are hugely faster than G-DC-FFT.