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Fixing NaN sampling for von Mises Fisher distribution #1918

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Fixing NaN sampling for von Mises Fisher distribution #1918

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8 changes: 5 additions & 3 deletions src/samplers/vonmisesfisher.jl
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Original file line number Diff line number Diff line change
Expand Up @@ -84,18 +84,20 @@ end
_vmf_genw(rng::AbstractRNG, s::VonMisesFisherSampler) =
_vmf_genw(rng, s.p, s.b, s.x0, s.c, s.κ)

function _vmf_householder_vec(μ::Vector{Float64})
function _vmf_householder_vec(μ::Vector{Float64}, ε::Float64=1e-8)
# assuming μ is a unit-vector (which it should be)
# can compute v in a single pass over μ
# Add small value, ε, to denominator to avoid dividing by zero

p = length(μ)
v = similar(μ)
v[1] = μ[1] - 1.0
s = sqrt(-2*v[1])
v[1] /= s
v[1] /= (s + ε)

@inbounds for i in 2:p
v[i] = μ[i] / s

v[i] = μ[i] / (s + ε)
end

return v
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