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Rounding Error Propagation - Bias and Uncertainty

Any rounding operation of a value causes loss of information, and thus, introduces error. Two types of error are involved: Systematic error (bias) and random error (uncertainty). Uncertainty is always introduced for any type of rounding employed. Bias is directly introduced only when lower (“floor”) and upper (“ceiling”) types of rounding are used. Central rounding is in principle unbiased, but bias may emerge in the case of nonlinear operations.

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0% found this document useful (0 votes)
38 views34 pages

Rounding Error Propagation - Bias and Uncertainty

Any rounding operation of a value causes loss of information, and thus, introduces error. Two types of error are involved: Systematic error (bias) and random error (uncertainty). Uncertainty is always introduced for any type of rounding employed. Bias is directly introduced only when lower (“floor”) and upper (“ceiling”) types of rounding are used. Central rounding is in principle unbiased, but bias may emerge in the case of nonlinear operations.

Uploaded by

Hugo Hernandez
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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You are on page 1/ 34

Vol.

9, 2024-02

Rounding Error Propagation: Bias and Uncertainty

Hugo Hernandez
ForsChem Research, 050030 Medellin, Colombia
[email protected]

doi: 10.13140/RG.2.2.23005.59363

Abstract
Any rounding operation of a value causes loss of information, and thus, introduces error. Two
types of error are involved: Systematic error (bias) and random error (uncertainty). Uncertainty
is always introduced for any type of rounding employed. Bias is directly introduced only when
lower (“floor”) and upper (“ceiling”) types of rounding are used. Central rounding is in
principle unbiased, but bias may emerge in the case of nonlinear operations. The purpose of
this report is discussing the propagation of both types of rounding error when rounded values
are used in common mathematical operations. The basic mathematical operations considered
are addition/subtraction, product, and natural powers. These operations can be used to
evaluate the propagation of error in power series, which then are used to describe error
propagation for any arbitrary nonlinear function. Even when power series approximations can
be obtained for any arbitrary reference value, it is highly recommended using the
corresponding rounded value as reference. The error propagation expressions obtained are
implemented in R language to facilitate the calculations. A couple of examples are included to
illustrate the evaluation of error propagation. These examples also show that truncating the
power series after the linear term already provides a good estimation of error propagation
(using the rounded value as reference point for the power series expansion).

Keywords
Bias, Error Propagation, Linearization, Mathematical Operations, Nonlinear Functions, Power
Series, R functions, Randomistics, Rounding, Uncertainty

1. Introduction

A randomistic variable ( ) [1] can be defined as the linear combination between a purely
deterministic variable and a purely random variable, as follows [2]:

(1.1)

Cite as: Hernandez, H. (2024). Rounding Error Propagation: Bias and Uncertainty. ForsChem Research
Reports, 9, 2024-02, 1 - 34. Publication Date: 19/02/2024.
Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

where represents the magnitude of the deterministic term (bias), represents the
magnitude of the pure random term (uncertainty), represents the standard deterministic
variable (with mean value and variance , and corresponding to number ), and represents
a type I standard random variable (with mean value and variance ) [3].

The variable can be considered as purely deterministic when . However, purely


deterministic variables only exists as abstract mathematical entities, as any variable observed
or measured in the real world have non-zero uncertainty [4], due to experimental and/or
measurement error, as well as error introduced by rounding and truncation.

Let us, for example, consider a purely deterministic variable given by , where
represents the ratio between the perimeter and the diameter of a perfect sphere.
Unfortunately, an exact numerical representation of is in practice impossible since the
number must be rounded or truncated at some point, with a given numerical resolution .
Thus, in general, the deterministic variable is approximated by the rounded value ( ) , such
that:
( )
(1.2)
Different types of rounding are possible, including:

 Lower Rounding (Floor or Truncation):

( ) ⌊ ⌋( ) ⌊ ⌋
(1.3)
where ⌊ ⌋ represents the floor rounding operator, such that:
⌊ ⌋ { }
(1.4)

 Upper Rounding (Ceiling):

( ) ⌈ ⌉( ) ⌈ ⌉
(1.5)
where ⌈ ⌉ represents the ceiling rounding operator, such that:
⌈ ⌉ { }
(1.6)

 Central Rounding (Rounding to the Closest Integer):

( ) ⟦ ⟧( ) ⟦ ⟧
(1.7)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

where ⟦ ⟧ represents the rounding to the closest integer operator, such that:
⌈ ⌉
⟦ ⟧ ⌊ ⌋

(1.8)
Thus, if the deterministic variables and are known, it is always possible to obtain a
deterministic result ( ) using a suitable rounding procedure. However, in practice we may
know ( ) and , but not , and the previous expressions need to be inverted. Unfortunately,
the inverse does not provide a single, deterministic result, but rather an infinite number of
possible solutions. By assuming that each of these solutions has the same probability of
occurrence, the following inversion formulas can be obtained:

 Lower Rounding (Floor or Truncation) Inverse:

( )

(1.9)
where represents the type I standard uniform random variable [5], having the
following probability density function:

( ) √ √

(1.10)
This probability density function is illustrated in Figure 1.

Figure 1. Type I Standard Uniform Random Variable.

 Upper Rounding (Ceiling) Inverse:

( )

(1.11)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

 Central Rounding (Rounding to the Closest Integer) Inverse:

( )

(1.12)
In general, we may write:

( ) ( ) ( )

(1.13)
where

(1.14)

with bias ( ) ( ) , uncertainty and variance .


The case where yields the original deterministic variable.

Notice that Eq. (1.9) to (1.13) are expressions representing randomistic variables (Eq. 1.1). Notice
also that the following equations hold true:

⌊ ( )⌋

(1.15)

⌈ ( )⌉

(1.16)

⌊ ( )⌋

(1.17)

⌈ ( )⌉

(1.18)

⟦ ⟧

(1.19)
As it can be seen, rounding a deterministic variable losses information and introduces
uncertainty. Now, if we further process the rounded value (using mathematical operations) this
uncertainty will propagate in the result, not only increasing the magnitude of uncertainty but
also potentially increasing the bias.

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

Particularly in this report, the propagation of rounding error through common mathematical
operations is discussed.

2. Basic Operations

Let us consider different rounded observations ( ), ( ),…, ( ) related to their original


values ( ) by the following expression:

( ) ( )

(2.1)
where depends on the type of rounding employed in each case.

The result of any mathematical operation performed using the rounded values will be a
deterministic value. However, the resulting operation considering the true unknown values is
also unknown (randomistic). Any deviation in the expected value of the operation using the
true unknown values, from the result obtained using known rounded values is denoted as
operation bias. Also, the uncertainty (standard deviation) of the operation result will be
denoted as operation uncertainty. Of course, the operation variance will be the square of the
operation uncertainty.

2.1. Addition/Subtraction

The simplest operation is the addition (or subtraction) of two rounded variables ( ) and
( ) . The result of the operation using rounded values is:

( ) ( )
(2.2)
On the other hand, the result of this operation using the true values would be (from Eq. 2.1):

( ) ( ) ( ) ( )
√ √
( ) ( )

(2.3)
The addition (or subtraction) bias is defined as follows:

( ) ( )
(2.4)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

When central rounding is used in both cases, then the operation bias is zero. If both rounding
resolutions are identical, then unbiased results can also be obtained when . That
means using the same type of rounding (lower or upper) for subtraction, or opposite types of
rounding for addition1. In all other cases, a non-zero operation bias emerges as a result of
rounding.

The variance of the addition/subtraction operation is [6]:

( )
( )
(2.5)

Assuming both observations to be completely independent, then ( ) , and the


operation variance becomes:

(2.6)

Considering the same rounding resolution ( ), then , which is twice the variance

( ) of each individual value.

The uncertainty of the addition/subtraction operation is then:

√ ( ) √ √

(2.7)

For the same rounding resolution, √ , increasing less than the corresponding increase
in variance.

The resulting probability distribution can be described by the standard random variable ,
given by:
( )
√ ( ) √
(2.8)
Using the multivariate change of variable theorem [7] and Eq. (1.10), the probability density
function of addition becomes:

1
In other words: ⌊ ⌋( ) ⌈ ⌉( ), and ⌈ ⌉( ) ⌊ ⌋( ) .

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( )

( (√ √ √ )

( √ √ √ ))

( )√ ( )√
√ √
(2.9)
This density function is, in general, a symmetric trapezium with variable slope. In one limiting
case, where or , the shape of the distribution resembles a rectangle (uniform
distribution). In the second limiting case, where , a triangular shape is obtained.
Probability distributions for selected ratios are illustrated in Figure 2. Here, , that is,
represents the addend with the lower resolution value.

Figure 2. Probability density function of addition/subtraction of two independent rounded values

If both resolution values are exactly , the result of the addition/subtraction yields zero bias
and zero uncertainty (operation between deterministic variables). When only one of the
resolution values is exactly , then we have the addition/subtraction of a deterministic
constant. Only in that case, the bias and uncertainty remains identical to the original rounded
variable (with non-zero rounding resolution). For all other cases, each addition or subtraction
operation between rounded variables amplifies the rounding error, and in some cases,
introduces bias (when non-central rounding is used).

2.2. Multiple Addition/Subtraction

The addition/subtraction operation can be repeated multiple times, resulting in the following
general multiple addition/subtraction of independent variables (using Eq. 2.1):

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

∑ ∑ ( ) ∑ ( ) ∑ ∑
√ √
(2.10)
The multiple addition/subtraction bias is:

∑ ∑

(2.11)
with variance:

∑ ∑

(2.12)
and uncertainty:

√∑ √∑

(2.13)
In general, using the multivariate change of variable theorem, the following probability density
function (in multiple integral form) is obtained:

( )
√ (√ √ ∑ )
( ) ∫ ∫
√ √ ( √ √ ∑ )

∑ ∑
√ √

(2.14)
For identical rounding resolutions ( ), the probability density function of the
multiple addition/subtraction approaches the normal or Gaussian distribution as the number of
addends increases [8]. This limiting case, whose probability density is described by Eq. (2.15), is
illustrated in Figure 3.

( )

(2.15)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

Figure 3. Standard Normal Random Variable

If one of the resolution values is much larger than all other values ( ), then the
probability density approaches the rectangular (uniform) distribution (cf. Figure 1).

2.3. Simple Product

The product of two independent rounded values yields (considering Eq. 2.1):

( ( ) ( )) ( ( ) ( ))
√ √

( ( ) ( ) ) ( ( ) )

( ( ) )

(2.16)
The product bias, variance and uncertainty are:

( ( ) ( ) ) ( ) ( )

(2.17)

( ( ) ) ( ( ) )

( ( ) ) ( ( ) )
(2.18)

√ ( ( ) ) ( ( ) )

√ ( ( ) ) ( ( ) )
(2.19)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

Due to the analytical complexity of the probability density function obtained with the
multivariate change of variable theorem, a general expression of the product is not included
here.

Let us now assume that central rounding is used for both factors ( ), then the
product is unbiased ( ), and the uncertainty of the product simply become (from Eq.
2.19):

√ ( ) ( ) √ ( ) ( )

(2.20)
indicating that the uncertainty of the product is greater or equal than the product of individual
uncertainties:

(2.21)
and that product uncertainty increases as the observed values increase. This is more clearly
observed when the same rounding resolution is employed for both factors ( ):

√ ( ) ( ) √ ( ) ( )

(2.22)
If both rounding resolutions are exactly (product of two deterministic variables) then the
result of the operation will have zero bias and zero uncertainty. If, on the other hand, we
assume that one of the rounding resolutions is exactly (corresponding to the case of the
product of a deterministic constant with a rounded variable), then (from Eq. 2.17 and 2.19):

(2.23)


(2.24)
A particular example of this situation is the average of several rounded variables. In this case
we have ( ) and :

( )
(2.25)
The bias and uncertainty are in this case (from Eq. 2.23 and 2.24):

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

∑ ∑
( )
(2.26)

√∑ √∑
√ ( )

(2.27)
For identical rounding resolution and rounding operations, we obtain:

(2.28)

√ ( ) √
(2.29)
Thus, the bias of the average is identical to the bias of each rounded variable, but the
uncertainty of the average decreases with respect to the original uncertainty, as the number of
terms included in the average increases.

2.4. Multiple Product

The product of multiple independent variables can be expressed as follows (using Eq. 2.1):

∏ ∏( ( ) ( ))

(2.30)
The bias of this general product is:

∏( ( ) ) ∏ ( ) ∏( ( ) ) ∏ ( )

(2.31)
Bias becomes zero when all variables have zero bias ( ). That is, each variable is ether
rounded to the closest integer, or has a rounding resolution of zero, or both.

The variance is in this case:

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

∏ (( ( ) ) ) ∏( ( ) )

∏ (( ( ) ) ) ∏( ( ) )

(2.32)
with uncertainty:

√ ∏ (( ( ) ) ) ∏( ( ) )

(2.33)

If all factor values are identical, all rounding resolutions are identical, and all rounding methods
are identical, then, as the number of factor increases, the probability distribution of the
multiple product approaches that of the log-normal distribution [9] as a result of the Central
Limit Theorem [8].

2.5. Natural Powers

In the previous cases, all factor variables were considered independent. If the factor variables
are now identical ( ), then we obtain:

( )
( ( ) ( )) ∑∑( )( ) ( )

(2.34)
where , and the following combinatorial operator (in terms of the factorial
operator!) is used:

( )
( )
(2.35)
The bias for the natural power operation is:

( ) ( ) ( ( ) )
∑∑( )( ) ( ) ∑∑( )( )
( ) ( )
( ) ( )
( )
∑∑( )( ) ( ) ∑∑ ( ) ( )
( )
(2.36)
where

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( ) ( )
( )
( ) ( )( )
( )
(2.37)
Eq. (2.36) also uses the following additional property of [5]:

( ( ))
( )
( )
(2.38)
Now, since:
( ) ( )
(2.39)
the variance of the natural power operation can be expressed as follows:

( ) ( ) ( ) ( ( ) ) ( )
( ( ) )
(2.40)
The uncertainty of the natural power operation then becomes:

√ ( ( ) )
(2.41)
The bias, variance and uncertainty obtained for the natural power operation are larger than the
corresponding parameters obtained for the product of multiple independent variables having
the same rounded value and same rounding resolution. Also, the resulting shape of the
probability density function will be different.

Notice that ( being the standard deterministic variable [3]). 2 If is used in Eq.
(2.36), then no terms are present in the sum and . Using this value in Eq. (2.41) then we
simply obtain , confirming that is a deterministic variable.

In second place, notice that even when the closest integer rounding approach is used
( ), natural powers introduce bias, unless (that is, ), since3

( ) ∑ ( ) ( )

(2.42)

2
Here, we are assuming that, even for the case where , .
3
Again, it is considered here that (or ), even for (or ).

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

3. Advanced Operations

The expressions for the propagation of rounding bias and uncertainty through basic
operations, presented in the previous Section, can be used to determine more advanced
numerical operations. Some of those advanced operations are considered in this Section.

3.1. General Product

When some factors considered in the multiple product described by Eq. (2.30) are correlated,
the product can be expressed in terms of the set of truly independent variables as follows:

∏ ∏( ( ) ( )) ∏( ( ) )

(3.1)

The resulting bias and uncertainty can be obtained by combining the expressions obtained for
multiple products (Section 2.4) and for natural powers (Section 2.5):

∏( ( ) ) ∏ ( )

∏( ( ) ∑∑ ( ) ( )) ∏ ( )

(3.2)

∏ (( ( ) ) ) ∏( ( ) )

∏( ( ) ( ) ) ∏( ( ) )

(3.3)

The calculation of these expressions may seem rather cumbersome as all individual power bias
terms need to be determined beforehand. However, it can be easily implemented as a
numerical algorithm to obtain the corresponding bias and uncertainty of the operation (see
Section 4.1)

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

3.2. Powers Series

Power series can be used to approximate nonlinear operations in terms of known basic
operations. In general we have:

(3.4)
The bias obtained is in this case:

∑ ( ) ∑ ( ) ∑ ∑ ∑∑ ( ) ( )

(3.5)
with variance

∑ ∑ ( )

∑ ∑ ( ( ) ( ) ( ( ) )( ( ) ))

(3.6)
where is given by Eq. (2.36).
Now, an arbitrary nonlinear function of , can be approximated by an infinite Taylor series
expansion about an arbitrary, deterministic reference value as follows:

( ) ( )
( ) ∑( )

(3.7)
which can then be alternatively expressed as follows [10]:

( ) ( ) ( ) ( )
( ) ∑∑ ( ) ∑∑ ( )
( ) ( )
(3.8)
Notice that Eq. (3.8) is equivalent to Eq. (3.4) by setting and

( ) ( )
∑ ( )
( )
(3.9)
Particularly for (McLaurin Series), Eq. (3.9) simplifies into:

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( )
( )

(3.10)
It is also possible to assume that ( ), and then:

( ) ( ) ( )
∑ ( )
( )
( )

(3.11)
or alternatively,
( ) ( ( )) ( ) ( )
( ) ∑( ) ∑( )
( ) ( )

( )
∑∑ ( )
( )
( )

(3.12)
Any of these expressions can then be used for any arbitrary nonlinear function. The advantage
of assuming ( ) is that a fairly good approximation can be obtained by truncating the
series after a low order polynomial, including even linear expressions, as it will be shown in
Section 4.
For the case of the linear approximation we simply obtain4:

( )
( ) ( ( )) ( ) ( ( ))
( )

(3.13)
with
( )
( )
( )

(3.14)
and
( )
( ( ) ( ( ) ) ) (( ) )
( )

(3.15)

4
Notice that the following numerical approximation can be used:
( ) ( ( ) ) ( ( ) )
( ) . Particularly, the following step size is suggested:
( )

( ), where is the machine precision and is the rounding resolution.

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

3.3. Division

Dividing a randomistic variable with another independent randomistic variable seems a simple
operation. However, from the perspective of uncertainty propagation, it is not so simple. The
approach used here consists in representing the reciprocal of the variable in the denominator
( ) as a power series expansion as follows (from Eq. 3.8):

( ) ( ) ( )
∑∑ ( ) ∑ ∑( ) ( ) ( )
( )
( )

(3.16)
The bias and variance for the reciprocal function are:

( )
∑ ∑( ) ( ) ( )

(3.17)
( )
∑ ∑ ∑ ∑( ) ( )( ) ( ) ( )

( )
∑ ∑ ∑ ∑( ) ( )( ) ( )

( ( ) ( ) ( ( ) )( ( ) ))
(3.18)
Now, the division operation can be treated as the simple product (Section 2.3) between the
numerator variable and the reciprocal of the denominator variable:

( )

(3.19)
Thus, the bias and variance for the division operation will be (from Eq. 2.17 and 2.18):

( ( ) )
( )
(3.20)

( ) (( ( ) ) )
( )
(3.21)
where and are given by Eq. (3.17) and (3.18) respectively.
Assuming a linear approximation to the denominator reciprocal (for ( ) ), we simply
obtain:

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( )
( ) ( ) ( )
(3.22)

( ) ( )
(3.23)

( ) ( )
(3.24)
and for the division:
( ( ) )
( )
( ) ( ) ( )
(3.25)
( ( ) )
( ) ( )
(3.26)

( ) (( ( ) ) )
( ) ( ) ( )
(3.27)

3.4. Exponential

An important nonlinear transcendental function is the exponential. This function can be


expressed as a power series expansion about zero as follows:

(3.28)
The resulting bias and variance can be determined as follows (from Eq. 3.5 and 3.6):

( )
∑ ∑ ∑∑ ( )

(3.29)

∑ ∑ ( ( ) ( ) ( ( ) )( ( ) ))

(3.30)
Alternatively, we may approximate the exponential about ( ), resulting in:

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( ) ( )
( ) ∑∑
( )
(3.31)
with bias:
( ) ( )
( ) ∑∑
( )
(3.32)
and variance:

( ) ( )
( ) ∑ ∑ ∑ ∑
( ) ( )

( ( ) ( ) ( ( ) )( ( ) ))
(3.33)
Approximating about ( ) allows using a low-order polynomial. For example, a linear
approximation yields:

( ) ( ( ))
(3.34)
( )

(3.35)
( )

(3.36)

3.5. Logarithm

For the logarithm function we have the following expansion about ( ):

( ) ( ) ( )
∑∑ ( ) ( ) ∑∑ ( )
( ) ( )
( )

(3.37)
with
( )
∑∑ ( )
( )

(3.38)
and

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Rounding Error Propagation:
Bias and Uncertainty
Hugo Hernandez
ForsChem Research
[email protected]

( )
∑ ∑ ∑ ∑ ( )( )
( )

( ( ) ( ) ( ( ) )( ( ) ))
(3.39)
which can be further approximated into:
( )
( )
( )
(3.40)

( )
(3.41)

( )
(3.42)

3.6. Sine Function

The sine function is chosen as representative of sinusoidal function to illustrate rounding error
propagation in trigonometric functions.

In this case we have:


( ) ( )
∑∑ ( )
( )
( )

( ) ⌊ ⌋
( )
∑∑ ( ( ) )
( )
(3.43)
with bias and uncertainty:
( ) ⌊ ⌋
( )
∑∑ ( ( ) )
( )
(3.44)
⌊ ⌋ ⌊ ⌋
( ) ( )
∑ ∑ ∑ ∑
( ) ( )

( ( ) ) ( ( ) )

( ( ) ( ) ( ( ) )( ( ) ))
(3.45)

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Rounding Error Propagation:
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Hugo Hernandez
ForsChem Research
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The sine function can be linearized about ( ) as follows:

( ( )) ( ( )) ( ( ))
(3.46)
( ( ))
(3.47)
( ( ))
(3.48)

4. Algorithm Implementation and Numerical Examples

4.1. R Functions

The following functions were implemented in R language (https://cran.r-project.org/) for


estimating the bias and uncertainty of different mathematical operations:

#Uniform randomistic variable after rounding


uround<-function(x,r=1,rtype=c("round","ceiling","floor")){
rtype=rtype[1]
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
if (rtype=="ceiling"){
c=-1
xr=r*ceiling(x$xr/r)
} else {
if (rtype=="floor"){
c=1
xr=r*floor(x$xr/r)
} else {
c=0
xr=r*round(x$xr/r)
}
}
b=x$b+r*c/2
u=sqrt(x$u^2+r^2/12)
if (r==0) {
xr=x$xr
b=x$b
u=x$u
}
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

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Rounding Error Propagation:
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ForsChem Research
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#Negative value5
uneg<-function(x){
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
out=list(xr=-x$xr,b=-x$b,u=x$u)
class(out)="rvar"
return(out)
}

#Propagation through addition/subtraction


uadd<-function(x1,x2){
if (class(x1)!="rvar"){
x1=list(xr=x1,b=0,u=0)
class(x1)="rvar"
}
if (class(x2)!="rvar"){
x2=list(xr=x2,b=0,u=0)
class(x2)="rvar"
}
xr=x1$xr+x2$xr
b=x1$b+x2$b
u=sqrt(x1$u^2+x2$u^2)
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Propagation through multiple addition


usum<-function(...){
x=list(...)
n=length(x)
for (i in 1:n){
if (class(x[[i]])!="rvar"){
x[[i]]=list(xr=x[[i]],b=0,u=0)
class(x[[i]])="rvar"
}
}
for (i in 1:n){
if (i==1) {
xs=x[[1]]
} else {
xs=uadd(xs,x[[i]])
}
}
return(xs)
}

#Propagation through simple product


uprod<-function(x1,x2){
if (class(x1)!="rvar"){
x1=list(xr=x1,b=0,u=0)
class(x1)="rvar"
}

5
Considering the negative operation , we obtain ( ) . Since the standard
uniform distribution is symmetrical about zero, we may equivalently state that ( ) .
Thus, ( ), , and .

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Rounding Error Propagation:
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if (class(x2)!="rvar"){
x2=list(xr=x2,b=0,u=0)
class(x2)="rvar"
}
xr=x1$xr*x2$xr
b=x1$b*x2$xr+x2$b*x1$xr+x1$b*x2$b
u=sqrt(x1$u^2*(x2$xr+x2$b)^2+x2$u^2*(x1$xr+x1$b)^2+x1$u^2*x2$u^2)
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Beta coefficient function


ubeta<-function(n,i,j){
out=choose(n,i)*choose(i,j)*(3^((i-j)/2))*(1+(-1)^(i-j))/(2*(i-j+1))
return(out)
}

#Propagation through power


upower<-function(x,n){
if (n!=round(n) | n<0) stop("Error: n may only take natural values!")
if (n==0) {
xr=1
b=0
u=0
} else{
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
xr=x$xr^n
b=0
for (i in 1:n){
for (j in 0:i){
b=b+ubeta(n,i,j)*x$b^j*x$u^(i-j)*x$xr^(n-i)
}
}
b2=0
for (i in 1:(2*n)){
for (j in 0:i){
b2=b2+ubeta(2*n,i,j)*x$b^j*x$u^(i-j)*x$xr^(2*n-i)
}
}
u=sqrt(b2-b*(2*xr+b))
}
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Propagation through multiple product


umult<-function(...){
x=list(...)
n=length(x)
for (i in 1:n){
if (class(x[[i]])!="rvar"){
x[[i]]=list(xr=x[[i]],b=0,u=0)
class(x[[i]])="rvar"
}
}

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Rounding Error Propagation:
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for (i in 1:n){
if (i==1) {
xp=x[[1]]
} else {
xp=uprod(xp,x[[i]])
}
}
return(xp)
}

#Propagation through reciprocal


uinv<-function(x,maxp=1){
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
maxp=max(0,round(maxp))
xr=1/x$xr
bn=rep(0,1+2*maxp)
for (j in 1:(1+2*maxp)){
bn[j]=upower(x,(j-1))$b
}
b=0
u2=0
for (n in 0:maxp){
for (l in n:maxp){
b=b+(-1)^n*choose(l,n)*bn[n+1]*xr^(n+1)
for (n1 in 0:maxp){
for (l1 in n1:maxp){
u2=u2+(-1)^(n+n1)*choose(l,n)*choose(l1,n1)*
xr^(n+n1+2)*(x$xr^(n+n1)+bn[n+n1+1]-(x$xr^n+bn[n+1])*(x$xr^n1+bn[n1+1]))
}
}
}
}
u=sqrt(abs(u2))
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Propagation through exponential


uexp<-function(x,maxp=1){
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
maxp=max(0,round(maxp))
xr=exp(x$xr)
bn=rep(0,1+2*maxp)
for (j in 1:(1+2*maxp)){
bn[j]=upower(x,(j-1))$b
}
b=0
u2=0
for (n in 0:maxp){
for (l in n:maxp){
b=b+(-1)^(l-n)*bn[n+1]*x$xr^(l-n)/(factorial(n)*factorial(l-n))
for (n1 in 0:maxp){
for (l1 in n1:maxp){

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Rounding Error Propagation:
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u2=u2+(-1)^(l-n+l1-n1)*x$xr^(l-n+l1-n1)*(x$xr^(n+n1)+bn[n+n1+1]-
(x$xr^n+bn[n+1])*(x$xr^n1+bn[n1+1]))/(factorial(n)*factorial(n1)*factorial(l-
n)*factorial(l1-n1))
}
}
}
}
b=xr*b
u=xr*sqrt(abs(u2))
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Propagation through logarithm


ulog<-function(x,maxp=1){
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
maxp=max(0,round(maxp))
xr=log(x$xr)
if (maxp==0) {
b=0
u=0
} else {
bn=rep(0,1+2*maxp)
for (j in 1:(1+2*maxp)){
bn[j]=upower(x,(j-1))$b
}
b=0
u2=0
for (n in 1:maxp){
for (l in n:maxp){
b=b+(-1)^(n+1)*bn[n+1]*x$xr^(-n)*choose(l,n)/l
for (n1 in 1:maxp){
for (l1 in n1:maxp){
u2=u2+(-1)^(n+n1+2)*x$xr^(-n-n1)*choose(l,n)*choose(l1,n1)*
(x$xr^(n+n1)+bn[n+n1+1]-(x$xr^n+bn[n+1])*(x$xr^n1+bn[n1+1]))/(l*l1)
}
}
}
}
u=sqrt(abs(u2))
}
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Propagation through sine


usin<-function(x,maxp=1){
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
maxp=max(0,round(maxp))
xr=sin(x$xr)
if (maxp==0) {
b=0

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Rounding Error Propagation:
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ForsChem Research
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u=0
} else {
bn=rep(0,1+2*maxp)
for (j in 1:(1+2*maxp)){
bn[j]=upower(x,(j-1))$b
}
b=0
u2=0
for (n in 1:maxp){
for (l in n:maxp){
b=b+(-1)^(l+n+floor(l/2))*bn[n+1]*x$xr^(l-
n)*sin(x$xr+l*pi/2)/(factorial(n)*factorial(l-n))
for (n1 in 1:maxp){
for (l1 in n1:maxp){
u2=u2+(-1)^(l-n+l1-n1+2)*x$xr^(l-n+l1-
n1)*sin(x$xr+l*pi/2)*sin(x$xr+l1*pi/2)*(x$xr^(n+n1)+bn[n+n1+1]-
(x$xr^n+bn[n+1])*(x$xr^n1+bn[n1+1]))/(factorial(n)*factorial(l-
n)*factorial(n1)*factorial(l1-n1))
}
}
}
}
u=sqrt(abs(u2))
}
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

#Linear propagation through arbitrary function fun


ufun<-function(x,fun){
if (is.function(fun)==FALSE) stop("Error: 'fun' must be a Valid function")
if (class(x)!="rvar"){
x=list(xr=x,b=0,u=0)
class(x)="rvar"
}
dx=2*max(x$u/1000,.Machine$double.eps)
xr=fun(x$xr)
dfdx=(fun(x$xr+dx/2)-fun(x$xr-dx/2))/dx
b=dfdx*x$b
u=abs(dfdx)*x$u
out=list(xr=xr,b=b,u=u)
class(out)="rvar"
return(out)
}

The output of these functions is a list-type variable having three elements:


 xr: Operation result using rounded values
 b: Operation bias
 u: Operation uncertainty

This type of variable is denoted by the class name: “rvar”.

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ForsChem Research
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4.2. Example 1: Rounding

As a first example, let us consider that the number is rounded up to the fourth decimal place,
corresponding to a rounding resolution . The value obtained, ⟦ ⟧( ) , is:

round(pi,4)
[1] 3.1416

The bias and uncertainty involved in this rounding operation can be determined as follows
(using the functions introduced in Section 4.1):

uround(pi,r=0.0001,rtype="round")
$xr
[1] 3.1416
$b
[1] 0

$u
[1] 2.886751e-05

attr(,"class")
[1] "rvar"

Let us recall that rounding using “round” is unbiased ( ). The rounding uncertainty, which
is proportional to the rounding resolution, is in this case .

Figure 4. Effect of rounding resolution on bias and uncertainty observed in rounded values of . Black
lines: Uncertainty limits. Blue lines: Expected values (biased).

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Figure 4 illustrates the effect of rounding on uncertainty for different resolution values and
different types of rounding operators.

Considering the base case of rounding using a resolution , Figure 5 shows the
evolution of bias and uncertainty for the first natural powers (using the function upower).
Both properties are shown relative to the power of the rounded value ( ( ) ).

Figure 5. Effect of exponent ( ) on the relative bias (left plot) and relative uncertainty (right plot) of
number rounded with a resolution (⟦ ⟧( ) ). Blue dots: Values obtained using the
function upower. Green lines: Empirical trend lines.

The data obtained was empirically fitted using the following equations:
( )
( )

(4.1)
( )
(4.2)
Notice that central rounding, using the rounding to the closest integer operator, was
considered.

Now, let us discuss the effect of expressing nonlinear functions as truncated polynomial series
expansions. Figure 6 illustrates the effect of truncation on bias and uncertainty for the
estimation of the reciprocal value of , using its rounded value (⟦ ⟧( ) ). This plot
shows that the linear approximation satisfactorily estimates the uncertainty, whereas the
second order polynomial satisfactorily estimates the bias. Nevertheless, for this example, the
operation bias is negligible.

Also notice that ⟦ ⟧( ) , has a resolution below . Thus, in principle


we may also round the result to the same resolution as follows:

⟦ ⟦ ⟧( )⟧

(4.3)

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Figure 6. Effect of truncation order on the bias (left axis) and uncertainty (right axis) in the determination
of from ⟦ ⟧( ).

The bias and uncertainty of this new rounding can be determined as follows:

uround(uinv(uround(pi,0.0001)),0.0001)
$xr
[1] 0.3183

$b
[1] 0

$u
[1] 2.901531e-05

Observe that due to rounding, the uncertainty of ⟦ ⟦ ⟧( )⟧ is one order of


magnitude greater than that of ⟦ ⟧( ):

uinv(uround(pi,0.0001))
$xr
[1] 0.3183091

$b
[1] 0

$u
[1] 2.924877e-06

The analysis of the effect of truncation on the bias and uncertainty of other nonlinear functions
(including the exponential, logarithm, and sine function) is summarized in Figure 7, with similar
results.

Particularly for the sine function, the exact value of is . But when the truncated value of
is used, we obtain: ( ) .

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Figure 7. Effect of truncation order on the bias (left axis) and uncertainty (right axis) in the determination
of (top left plot), (top right plot), and (bottom plot) from ⟦ ⟧( ).

However, notice that the bias in the calculation is approximately with an


uncertainty of about , indicating that is a spurious value, not
significantly different from 6.

Again, truncating the operation result ⟦ (⟦ ⟧( ) )⟧( )


increases uncertainty, but for
this particular case, the exact outcome is casually obtained:
uround(usin(uround(pi,0.0001)),0.0001)
$xr
[1] 0

$b
[1] 0

$u
[1] 4.082483e-05

6
Here, we are considering that belongs to a certain confidence interval described by:
[ (⟦ ⟧( )) (⟦ ⟧( )) ], where is the number of standard
deviations in the confidence interval. By assuming a uniform distribution we have √ with
confidence. By assuming a normal distribution with to confidence, we have to ,
respectively. In general, we may safely use a value of √ for any arbitrary distribution. Thus, the
resulting confidence interval is [ ], clearly showing that the result is not
significantly different from zero.

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Rounding Error Propagation:
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4.3. Example 2: Floor Rounding

In this example, let us consider the floor rounding of number using , as follows:

⌊ ⌋( )
(4.4)
The bias and uncertainty of this rounding operation are:

x=uround(exp(1),r=0.01,rtype="floor")

$xr
[1] 2.71

$b
[1] 0.005

$u
[1] 0.002886751

The propagation of bias and uncertainty through natural powers is illustrated in Figure 8.

Figure 8. Effect of exponent ( ) on the relative bias (left plot) and relative uncertainty (right plot) of
number rounded with a resolution (⟦ ⟧( ) ). Blue dots: Values obtained using the function
upower. Green lines: Empirical trend lines.

The empirical models used to fit these results were the following:

( ( ) ) ( )
(4.5)
( ( ) ) ( )
(4.6)
Notice that for floor rounding, the power bias can be greater than the power uncertainty. A
similar result can be obtained for ceiling rounding. Notice also that the magnitude of relative
uncertainty for ⟦ ⟧( ) is greater than for ⟦ ⟧( ) due to the larger rounding resolution
value.

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Figure 9 shows the evolution of the estimated bias and uncertainty of different nonlinear
functions, with increasing terms in the series expansion. In all cases considered, the linear
model provides a good estimation of both bias and uncertainty.

In this example, we know that , but we find that ⟦ ⟧( ) . Now, if we


build a confidence interval for the estimation using √ , we obtain:

[ ⟦ ⟧( ) ⟦ ⟧( ) ] [ ]
(4.7)
indicating that the value obtained for is not significantly different from .

Notice also that for this example , since . The interesting fact is that such ratio ( )
√ √
is conserved (in absolute value) even after nonlinear transformations of the rounded value, due
to the validity of the linear approximation.

Figure 9. Effect of truncation order on the bias (left axis) and uncertainty (right axis) in the determination
of (top left plot), (top right plot), (bottom left plot) and (bottom left plot) from
⟦ ⟧( ) .

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Bias and Uncertainty
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ForsChem Research
[email protected]

5. Conclusion

Rounding operations discretize continuous numbers by approximating them to the closer value
considering a specific rounding resolution ( ). A rounding resolution of zero yields the original
value. Rounding removes information from a number, and this missing information represents
a rounding error. The inverse of rounding operation yields a randomistic variable (combining
deterministic and random terms), since the original value before rounding is unknown. A
reasonable assumption is that the distribution of possible original values is uniform, and it is the
base of the present analysis.

Rounding error can be either systematic (bias) or random (uncertainty). Central rounding is
unbiased, whereas lower and upper rounding operations introduce bias. Both the bias and
uncertainty introduced by rounding are proportional to the rounding resolution employed.
However, when rounded values are involved in mathematical operations, the error (bias and
uncertainty) propagates. Error propagation depends on the specific mathematical operation
employed. Different expressions are presented for determining bias and uncertainty of basic
operations (addition, product and power) in Section 2, and advanced operations (power series
and nonlinear functions) in Section 3.

Nonlinear functions are particularly interesting because they can be approximated by an


infinite polynomial series expansion about a certain reference value. When the reference value
considered is the rounded value, the series expansion can be safely truncated after a low order
polynomial, even including a linear truncation. Illustrative examples (Section 4) show that linear
truncation provides a satisfactory estimation of bias and uncertainty in the evaluation of
nonlinear functions of rounded values.

The expressions obtained for propagating rounding error through different mathematical
operations were implemented as functions in R language (https://cran.r-project.org/), and are
included in Section 4.1.

Acknowledgment and Disclaimer

This report provides data, information and conclusions obtained by the author(s) as a result of original
scientific research, based on the best scientific knowledge available to the author(s). The main purpose
of this publication is the open sharing of scientific knowledge. Any mistake, omission, error or inaccuracy
published, if any, is completely unintentional.

This research did not receive any specific grant from funding agencies in the public, commercial, or not-
for-profit sectors.

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Rounding Error Propagation:
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Hugo Hernandez
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This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International (CC BY-NC
4.0). Anyone is free to share (copy and redistribute the material in any medium or format) or adapt
(remix, transform, and build upon the material) this work under the following terms:
 Attribution: Appropriate credit must be given, providing a link to the license, and indicating if
changes were made. This can be done in any reasonable manner, but not in any way that
suggests endorsement by the licensor.
 NonCommercial: This material may not be used for commercial purposes.

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[3] Hernandez, H. (2022). Standard Deterministic, Standard Random, and Randomistic Variables.
ForsChem Research Reports, 7, 2022-06, 1 - 18. doi: 10.13140/RG.2.2.36316.87688.
[4] Hernandez, H. (2020). On the Discreteness of Measured Variables and the Continuous
Approximation. ForsChem Research Reports, 5, 2020-20, 1-18. doi: 10.13140/RG.2.2.27740.00646.
[5] Hernandez, H. (2018). Expected Value, Variance and Covariance of Natural Powers of
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