Floating-point Arithmetic

When org.apache.commons.math3.distribution.NormalDistribution is used as below,

@Test
void testStatisticUtil() {
    final NormalDistribution normalDistribution = new NormalDistribution(0.0, 1.0);
    final double input = 9.0;
    assertEquals(1, normalDistribution.cumulativeProbability(input));
}

the assertion will succeed. We know that mathematically only when input is positive infinite, will the cumulative probability be 1, but why here when 9.0, which is far from positive infinite, is entered, 1 is returned?

The root cause is the floating number issue.

In Java, the double data type is a 64-bit floating-point number, which means it can represent a very wide range of values, from around 4.9e-324 to 1.8e+308. However, this wide range comes with a trade-off in precision. The double data type can only represent a finite set of decimal values exactly, and some decimal values, like 0.1, cannot be represented exactly.

When the value of a double is as small as 1E-19, it is at the very limits of the precision that the double data type can represent. Due to rounding errors and the way floating-point arithmetic works, the actual value stored in the double variable may be slightly different from the value you expect.

For example, consider the following code:

double x = 1E-19;
System.out.println(1 - x); // Output: 1.0

Even though the value of x is 1E-19, when you subtract it from 1.0, the result is still 1.0. This is because the difference between 1.0 and 1E-19 is so small that it falls within the rounding error of the double data type.

Formula

The conversion between the 64-bit floating-point number in decimal and binary number is

x_{(10)} = sign \times (1 + \frac{M_{(2)}}{2^{52}}) \times 2^{(E-(2^{10}-1))}

where,

Sign Bit (1 bit): 0 for positive and 1 for negative
Exponent Bits (11 bits): The value of the exponent field is the actual exponent plus a bias of 1023
Mantissa Bits (52 bits): The mantissa represents the fractional part of the number, with an implied leading 1

Example

Given 1E0, in binary it's represented as

0 01111111111 0000000000000000000000000000000000000000000000000000

Given 1E-19, in binary it's represented as

0 01110111111 1101100000111100100101001111101101101101001010101100

Sign Bit (1 bit): +
Exponent Bits (11 bits): Here the value of exponent field is 011 1011 1111 (1004), the bias is 011 1111 1111 (2^10 - 1 = 1023), and the actual exponent is -64
Mantissa Bits (52 bits): Here the value is 1101100000111100100101001111101101101101001010101100.

Then 1E0 - 1E-19 results in

0 01111111111 0000000000000000000000000000000000000000000000000000 because Mantissa (52 bits) of 1E-19 shifted 64 bits to the right will result in 0.

Reference

PreviousSetup C++ Dev Env in MacOS using Docker NextJava HFT Toolbox

Last updated 6 months ago

Was this helpful?

@Test void testStatisticUtil() { final NormalDistribution normalDistribution = new NormalDistribution(0.0, 1.0); final double input = 9.0; assertEquals(1, normalDistribution.cumulativeProbability(input)); }

Formula

The conversion between the 64-bit floating-point number in decimal and binary number is

x_{(10)} = sign \times (1 + \frac{M_{(2)}}{2^{52}}) \times 2^{(E-(2^{10}-1))}

where,

Sign Bit (1 bit): 0 for positive and 1 for negative

Exponent Bits (11 bits): The value of the exponent field is the actual exponent plus a bias of 1023

Mantissa Bits (52 bits): The mantissa represents the fractional part of the number, with an implied leading 1

Example

Given 1E0, in binary it's represented as

0 01111111111 0000000000000000000000000000000000000000000000000000

Given 1E-19, in binary it's represented as

0 01110111111 1101100000111100100101001111101101101101001010101100

Sign Bit (1 bit): +

Exponent Bits (11 bits): Here the value of exponent field is 011 1011 1111 (1004), the bias is 011 1111 1111 (2^10 - 1 = 1023), and the actual exponent is -64

Mantissa Bits (52 bits): Here the value is 1101100000111100100101001111101101101101001010101100.

Note that the mantissa component itself is limited to 52 bits, giving it the ability to precisely represent around 15-16 decimal digits in the fractional part of the number, according to . Try it yourself in .

Then 1E0 - 1E-19 results in

0 01111111111 0000000000000000000000000000000000000000000000000000 because Mantissa (52 bits) of 1E-19 shifted 64 bits to the right will result in 0.