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Yesterday I ran into an equation that was a sum of an exponential and a linear term:

It doesn’t take long to figure out that there is no analytical solution, and so I set out to write some crappy numerical code. After wasting some time with a fixed point iteration that did not really work, it occured to me that I most probably wasn’t the first person out there trying to solve such a simple equation. Indeed not.

The equation above has a solution in terms of a special function called Lambert’s W, and an nicer-looking one in terms of its cousin the generalised log (introduced by D. Kalman here).

Just like is the inverse of , is the inverse of , and Lambert’s is the inverse of . Neither glog nor W can be computed analytically, but fast implementations for are available (for R, it’s in the GSL package), and:

In terms of the generalised log function the solution to the equation is:

The (easy) proof is on page 5 of Kalman’s article. Here’s some R code:

So where does this turn up in statistics? Well, one example is finding the Maximum A Posterior estimate of a Poisson mean, if you put a Gaussian prior on the log of the mean.

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