topic Re: Iterative sum with factorial factors in SAS Procedures

Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 09:35:55 GMT

Hi everyone,

I'm facing an issue when doing an itrative sum using factorials. This is the first time I use both an iterative sum and the FACT function so I guess there are a lot of things wrong in my code.

Want I want is the formula I hereby attached.

Here it its:

data lsv.right;

set lsv.left;

do i=0 to i=(buy+sell);

right = ((fact(buy+sell)/ (fact(i)+fact(Buy+sell-i)))*(i/(buy+sell))*((1-Pt)**(Buy+sell-i))*abs((i/(buy+sell)-Pt)))+ right;

end;

run;

Here is a sample of data I have. BUy and sell are integers.

Buy	Sell	Pt	Right
3	4	2,7865
8	10	6,78783

Could you please help me with it ?

Thank you

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 10:10:00 GMT

Hi,

So what is the problem with it, is it giving an Error/Warning or not giving you the result you expect. If you are not getting the result you expect then break the formula down into parts, e.g.:

data ...;

temp1=fact(buy+sell);

temp2=temp1 /....

If it is error/warning then post the log.

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 10:14:19 GMT

Here is the log error message

NOTE: Invalid argument to function FACT at line 36 column 11.

NOTE: Invalid argument to function FACT at line 36 column 36.

NOTE: Invalid argument to function FACT at line 36 column 11.

NOTE: Invalid argument to function FACT at line 36 column 36.

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 12:49:01 GMT

Well, I would first check that all your variables are numeric (I suspect this is your problem). Buy, sell and pt. If not then you are passing a character to a function which is requiring a numeric. I would also re-iterate to break the formula up so you have a bit more clarity of what is going on (this works for me), like:

data have;
attrib Buy Sell Pt format=best.;
buy=3; sell=4; pt=27865; output;
buy=8; sell=10; pt=678783; output;
run;

data want;
set have;
bs=buy + sell;
right=0;
do i=0 to bs;
    calc1=(fact(bs) / (fact(i) + fact(bs-i)));
    calc2=calc1 * (i/(bs)) * ((1-Pt)**(bs-i)) * abs((i/(bs)-Pt));
    right=calc2 + right;
end;
run;

Re: Iterative sum with factorial factors

SteveDenham — Thu, 03 Jul 2014 12:57:30 GMT

Wild guess, that 'buy' and/or 'sell' are character variables in dataset lsv.left as mentioned by , judging by the location in the line for these NOTEs..

You may wish to consider reparameterizing and using LFACT (log of the factorial) in order to avoid a noncomputable result for moderately large arguments.

Steve Denham

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 13:18:37 GMT

I used your code and I made sure that I treat with numeric variables. I create a num variable n that is the sum of buy and sell. But it still shows the same log error

Proc SQL;

alter table lsv.left

add n num label='n';

Proc SQL;

update lsv.left

set n=buy+sell;

data lsv.right;

set lsv.left;

right=0;

do i=0 to i=n;

calc1=(fact(n) / (fact(i) * fact(n-i)));

calc2=calc1 * (i/(n)) * ((1-Pt)**(n-i)) * abs((i/(n)-Pt));

right=calc2 + right;

end;

run;

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 13:21:42 GMT

In your code you have:

do I=0 to I=n;

This is incorrect, you want a range, so I=0 to n;

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 13:24:16 GMT

Thank you, I corrected it and nows the log error message becomes

Invalid DO loop control information, either the INITIAL or TO expression is missing or the

BY expression is missing, zero, or invalid.

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 13:36:31 GMT

Check what N in lsv.left as it sound like that is not being create properly. So do this:

Run the first SQL statement, check the lsv.left. Does this look correct.

Run the second SQL statement, check the lsv.left table looks correct.

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 13:46:10 GMT

I did it and there actually was a problem. The fact is that n was worth '.' when there were a buy or sell =0. So I corrected it this way

Proc SQL;

update lsv.left

set n=buy where sell=.;

Proc SQL;

Update lsv.left

set n=sell where buy=.;

But I still have the same error message

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 13:50:03 GMT

Could you post some test data of lsv.left after the two proc sql statements have run. I suspect you still have a . or missing in your data i.e. what happens if both buy and sell are missing, then that row should be removed as the procedures cannot work on that data.

Re: Iterative sum with factorial factors

RW9 — Thu, 03 Jul 2014 13:55:51 GMT

Maybe get rid of the SQL part and just add a clause in your datastep:

data lsv.right;

set lsv.left;

right=0;

if buy ne . or sell ne . then do;

if buy=. then n=sell;

else n=buy;

do i=0 to i=n;

calc1=(fact(n) / (fact(i) * fact(n-i)));

calc2=calc1 * (i/(n)) * ((1-Pt)**(n-i)) * abs((i/(n)-Pt));

right=calc2 + right;

end;

run;

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 13:58:42 GMT

Thanks a lot ! YOu were right. One row had both sell and buy equal to .

i deleted it and now it's working, thanks a lot !

Re: Iterative sum with factorial factors

crikriek — Thu, 03 Jul 2014 18:06:36 GMT

Unfortunately i'm still facing an issue I can't solve; The value I otain for right is always >1 and sometimes superhigh. In actual facts this formula always lead to a result <1.

FYI: the input Pt is always around 0,5

Do you have an idea of the problem in the code ?

Re: Iterative sum with factorial factors

RW9 — Fri, 04 Jul 2014 07:54:44 GMT

Sorry, am a code monkey not a stato, its all greek to me. Maybe post a question in the stats section.

Re: Iterative sum with factorial factors

crikriek — Fri, 04 Jul 2014 07:55:37 GMT

Thanks i'll do that

Re: Iterative sum with factorial factors

SteveDenham — Wed, 09 Jul 2014 14:58:00 GMT

Looks like there may be a discrepancy in coding from a text formula, as I get super large values as well, with the test data. Can you post a link to the formula?

Steve Denham

Re: Iterative sum with factorial factors

ballardw — Wed, 09 Jul 2014 15:13:50 GMT

One thing is to initialize Right to 0 before the loop. If you have x+y and y is missing then the sum result will be missing.

Re: Iterative sum with factorial factors

SteveDenham — Wed, 09 Jul 2014 15:16:28 GMT

I still get huge numbers. I think the code for the formula needs checked.

Steve Denham

Re: Iterative sum with factorial factors

crikriek — Wed, 16 Jul 2014 12:59:15 GMT

Hi everyone !

I'm using the same formula on another database and I think I'm having the following probelm : THe number i cannot go higher than 1030. He writes an error message when nit is higher than 1030. Do you know about that ? Is there a way to solve it ? Thanks

The code:

Data database.lsvstock3;

set database.lsvstock2;

Af=0;

do i=0 to nit;

AF = comb(nit,i)*(Pt**i)*((1-Pt)**(nit-i))*abs((i/nit)-Pt)+AF;

end;

run;

The log error message:

NOTE: Invalid argument to function COMB at line 570 column 6.

NOTE: Missing values were generated as a result of performing an operation on missing values.

Each place is given by: (Number of times) at (Line):(Column).

205291 at 570:17 20144 at 570:59

NOTE: Mathematical operations could not be performed at the following places. The results of the

operations have been set to missing values.

Each place is given by: (Number of times) at (Line):(Column).

205291 at 570:6

NOTE: There were 170 observations read from the data set DATABASE.LSVSTOCK2.

NOTE: The data set DATABASE.LSVSTOCK3 has 170 observations and 11 variables.

NOTE: DATA statement used (Total process time):

real time 0.24 seconds

cpu time 0.21 seconds