id,summary,reporter,owner,description,type,status,milestone,component,version,severity,resolution,keywords,cc
10938,extreme_value_distribution pdf fails for large deviates,Paul McClellan <paulm@…>,John Maddock,"extreme_value_distribution<double> pdf function raises an error when the normalized deviate (a-x)/b is too large positive.

For example, when a = 0.0, b = 1.0, and x = -1.0e3 the pdf computation:

{{{
  result = exp((a-x)/b) * exp(-exp((a-x)/b)) / b;
}}}

results in the term exp((a-x)/b) = exp(-x) overflowing to +inf, and the term exp(-exp((a-x)/b)) / b = exp(-exp(-x)) underflowing to 0.0 and the product of the terms being indeterminate.

My workaround is:

{{{
  // evmax distribution object:
  boost::math::extreme_value evmax(dL, dS);
  // BUGFIX Set pdf(x;a,b) to zero for (a-x)/b > 37.
  // This avoids an indeterminant computation.
  return (dL-dX)/dS > 37.0 ? 0.0 : pdf(evmax, dX);
}}}

  ",Bugs,closed,To Be Determined,math,Boost 1.57.0,Problem,fixed,math,