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probability or statistics - Faster method for CDF of Multinomial Distribution?


Take the following:


p= N@{459/10703, 1/973, 95/10703, 635/10703, 179/10703, 565/10703,
      54/973, 474/10703, 794/10703, 548/10703, 52/1529, 1/10703, 

      61/973, 86/1529, 775/10703, 162/10703, 160/10703, 870/10703, 
      157/10703, 816/10703, 691/10703, 471/10703, 192/10703, 
      10/973, 307/10703};

q={5, 6, 8, 20, 5, 14, 15, 12, 14, 5, 16, 14, 9, 8, 14, 9, 17, 18,
   6, 6, 7, 11, 14, 17, 15};

n=200;

CDF[MultinomialDistribution[n, p], q] // AbsoluteTiming


I gave up waiting and aborted.


Any ideas for a faster method in native Mathematica for multinomial distribution CDF?


Edit: I'll be adding a bounty as soon as it's available to stimulate ideas/answers.


Here's a more trivial test case to use for those interested with results/timings from loungebook. Even with this much simpler case, better than five orders of magnitude performance gain.


probs = {.15, .1, .05, .2, .35, .12, .03};
counts = {18, 16, 13, 20, 21, 12, 10};
n = 49;
ClearSystemCache[];
fast = multinomFastCDF2[n, probs, counts] // AbsoluteTiming

ClearSystemCache[];
mma = CDF[MultinomialDistribution[n, probs], counts] // AbsoluteTiming
Last@fast == Last@mma
First@mma/First@fast


{0.00393243, 0.897792}


{2526.37, 0.897792}


True


642446.





Answer



Came up with this, using N[{...},14] on the setting of p in the OP to get sufficient result precision, it finishes in a few tenths on the loungebook:


multinomFastCDF2[n_Integer, p_, q_] := If[n < 0 || n > Tr[q], 0,
   FullSimplify[E n! Last@Fold[Take[ListConvolve[##, {1, -1}, 0], UpTo[n + 1]] &, 
                               MapThread[Divide[Gamma[#2 + 1, #1], Gamma[#2 + 1]] 
                               Normalize[Divide[E^-#1 #1^Range[0, #2], Range[0, #2]!], Total] &, 
                                        {p,q}]]]];

Arguments are the number of trials, category probabilities, and CDF vector to evaluate.



If anyone can come up with better, I'm all eyes...


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